Wavelet entropy and fractional Brownian motion time series
Data Analysis, Statistics and Probability
2009-11-11 v1 Atmospheric and Oceanic Physics
Abstract
We study the functional link between the Hurst parameter and the Normalized Total Wavelet Entropy when analyzing fractional Brownian motion (fBm) time series--these series are synthetically generated. Both quantifiers are mainly used to identify fractional Brownian motion processes (Fractals 12 (2004) 223). The aim of this work is understand the differences in the information obtained from them, if any.
Keywords
Cite
@article{arxiv.physics/0501105,
title = {Wavelet entropy and fractional Brownian motion time series},
author = {Dario G. Perez and Luciano Zunino and Mario Garavaglia and Osvaldo A. Rosso},
journal= {arXiv preprint arXiv:physics/0501105},
year = {2009}
}
Comments
10 pages, 2 figures, submitted to Physica A for considering its publication