Wavelet entropy and fractional Brownian motion time series

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.

10 pages, 2 figures, submitted to Physica A for considering its publication

References in corpus (4)

• Wavelet entropy of stochastic processes
• Modeling turbulent wave-front phase as a fractional Brownian motion: a new approach
• Characterization of Laser Propagation Through Turbulent Media by Quantifiers Based on the Wavelet Transform
• Characterization of laser propagation through turbulent media by quantifiers based on the wavelet transform: dynamic study

Cited by in corpus (3)

• Wavelet entropy of stochastic processes
• Fractional derivatives of random walks: Time series with long-time memory
• Characterization of laser propagation through turbulent media by quantifiers based on the wavelet transform: dynamic study