Published June 30, 2008
| Version v1
Journal article
Permutation entropy of fractional Brownian motion and fractional Gaussian noise
Creators
- 1. Departamento de Fisica, Facultad de Ciencias Exactas, Universidad Nacional de La Plata, 1900 La Plata (Argentina)
- 2. Departamento de Ciencias Basicas, Facultad de Ingenieria, Universidad Nacional de La Plata (UNLP), 1900 La Plata (Argentina)
- 3. Centro de Investigaciones Opticas, C.C. 124 Correo Central, 1900 La Plata (Argentina)
- 4. Instituto de Fisica, Pontificia Universidad Catolica de Valparaiso (PUCV), 23-40025 Valparaiso (Chile)
- 5. Instituto de Fisica (IFLP), Facultad de Ciencias Exactas, Universidad Nacional de La Plata and Argentina's National Council (CCT-CONICET), C.C. 727, 1900 La Plata (Argentina)
- 6. Chaos and Biology Group, Instituto de Calculo, Facultad de Ciencias Exactas y Naturales, Universidad de Buenos Aires, Pabellon II, Ciudad Universitaria, 1428 Ciudad de Buenos Aires (Argentina)
- 7. Centre for Bioinformatics, Biomarker Discovery and Information-Based Medicine, School of Electrical Engineering and Computer Science, The University of Newcastle, University Drive, Callaghan NSW 2308 (Australia)
Description
We have worked out theoretical curves for the permutation entropy of the fractional Brownian motion and fractional Gaussian noise by using the Bandt and Shiha [C. Bandt, F. Shiha, J. Time Ser. Anal. 28 (2007) 646] theoretical predictions for their corresponding relative frequencies. Comparisons with numerical simulations show an excellent agreement. Furthermore, the entropy-gap in the transition between these processes, observed previously via numerical results, has been here theoretically validated. Also, we have analyzed the behaviour of the permutation entropy of the fractional Gaussian noise for different time delays
Availability note (English)
Available from http://dx.doi.org/10.1016/j.physleta.2008.05.026Additional details
Identifiers
- DOI
- 10.1016/j.physleta.2008.05.026;
- PII
- S0375-9601(08)00691-9;
Publishing Information
- Journal Title
- Physics Letters. A
- Journal Volume
- 372
- Journal Issue
- 27-28
- Journal Page Range
- p. 4768-4774
- ISSN
- 0375-9601
- CODEN
- PYLAAG
INIS
- Country of Publication
- Netherlands
- Country of Input or Organization
- International Atomic Energy Agency (IAEA)
- INIS RN
- 40046560
- Subject category
- S71: CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSICS;
- Descriptors DEI
- BROWNIAN MOVEMENT; COMPARATIVE EVALUATIONS; ENTROPY; FORECASTING; GAUSSIAN PROCESSES; NOISE; SIMULATION; TIME DELAY
- Descriptors DEC
- EVALUATION; PHYSICAL PROPERTIES; THERMODYNAMIC PROPERTIES
Optional Information
- Copyright
- Copyright (c) 2008 Elsevier Science B.V., Amsterdam, The Netherlands, All rights reserved.