Artículo

Zunino, L.; Pérez, D.G.; Kowalski, A.; Martín, M.T.; Garavaglia, M.; Plastino, A.; Rosso, O.A. "Fractional Brownian motion, fractional Gaussian noise, and Tsallis permutation entropy" (2008) Physica A: Statistical Mechanics and its Applications. 387(24):6057-6068
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Abstract:

In this work, we analyze two important stochastic processes, the fractional Brownian motion and fractional Gaussian noise, within the framework of the Tsallis permutation entropy. This entropic measure, evaluated after using the Bandt & Pompe method to extract the associated probability distribution, is shown to be a powerful tool to characterize fractal stochastic processes. It allows for a better discrimination of the processes than the Shannon counterpart for appropriate ranges of values of the entropic index. Moreover, we find the optimum value of this entropic index for the stochastic processes under study. © 2008 Elsevier B.V. All rights reserved.

Registro:

Documento: Artículo
Título:Fractional Brownian motion, fractional Gaussian noise, and Tsallis permutation entropy
Autor:Zunino, L.; Pérez, D.G.; Kowalski, A.; Martín, M.T.; Garavaglia, M.; Plastino, A.; Rosso, O.A.
Filiación:Centro de Investigaciones Ópticas, C.C. 124 Correo Central, 1900 La Plata, Argentina
Departamento de Ciencias Básicas, Facultad de Ingeniería, Universidad Nacional de La Plata (UNLP), 1900 La Plata, Argentina
Departamento de Física, Facultad de Ciencias Exactas, Universidad Nacional de La Plata, 1900 La Plata, Argentina
Instituto de Física, Pontificia Universidad Católica de Valparaíso (PUCV), 23-40025 Valparaíso, Chile
Instituto de Física (IFLP-CCT), Facultad de Ciencias Exactas, Universidad Nacional de La Plata, C.C. 727, 1900 La Plata, Argentina
Buenos Aires Scientific Research Commission (CIC), C.C. 727, 1900 La Plata, Argentina
Argentina's National Council (CCT-CONICET), C.C. 727, 1900 La Plata, Argentina
Centre for Bioinformatics, Biomarker Discovery and Information-Based Medicine, School of Electrical Engineering and Computer Science, University Drive, Callaghan, NSW 2308, Australia
Chaos and Biology Group, Instituto de Cálculo, Facultad de Ciencias Exactas y Naturales, Pabellon II, Ciudad Universitaria, 1428 Ciudad de Buenos Aires, Argentina
Palabras clave:Bandt & Pompe method; Fractional Brownian motion; Fractional Gaussian noise; Tsallis entropy; Brownian movement; Gaussian noise (electronic); Risk assessment; Stochastic programming; Trellis codes; Entropic indexes; Fractional Brownian motion; Fractional Gaussian noise; Optimum value; Permutation entropy; Pow erful tool; Ranges of values; Stochastic processing; Tsallis entropy; Probability distributions
Año:2008
Volumen:387
Número:24
Página de inicio:6057
Página de fin:6068
DOI: http://dx.doi.org/10.1016/j.physa.2008.07.004
Título revista:Physica A: Statistical Mechanics and its Applications
Título revista abreviado:Phys A Stat Mech Appl
ISSN:03784371
CODEN:PHYAD
Registro:https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_03784371_v387_n24_p6057_Zunino

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Citas:

---------- APA ----------
Zunino, L., Pérez, D.G., Kowalski, A., Martín, M.T., Garavaglia, M., Plastino, A. & Rosso, O.A. (2008) . Fractional Brownian motion, fractional Gaussian noise, and Tsallis permutation entropy. Physica A: Statistical Mechanics and its Applications, 387(24), 6057-6068.
http://dx.doi.org/10.1016/j.physa.2008.07.004
---------- CHICAGO ----------
Zunino, L., Pérez, D.G., Kowalski, A., Martín, M.T., Garavaglia, M., Plastino, A., et al. "Fractional Brownian motion, fractional Gaussian noise, and Tsallis permutation entropy" . Physica A: Statistical Mechanics and its Applications 387, no. 24 (2008) : 6057-6068.
http://dx.doi.org/10.1016/j.physa.2008.07.004
---------- MLA ----------
Zunino, L., Pérez, D.G., Kowalski, A., Martín, M.T., Garavaglia, M., Plastino, A., et al. "Fractional Brownian motion, fractional Gaussian noise, and Tsallis permutation entropy" . Physica A: Statistical Mechanics and its Applications, vol. 387, no. 24, 2008, pp. 6057-6068.
http://dx.doi.org/10.1016/j.physa.2008.07.004
---------- VANCOUVER ----------
Zunino, L., Pérez, D.G., Kowalski, A., Martín, M.T., Garavaglia, M., Plastino, A., et al. Fractional Brownian motion, fractional Gaussian noise, and Tsallis permutation entropy. Phys A Stat Mech Appl. 2008;387(24):6057-6068.
http://dx.doi.org/10.1016/j.physa.2008.07.004