Wavelet entropy and fractional Brownian motion time series

Details Wavelet entropy and fractional Brownian motion time series Wavelet entropy and fractional Brownian motion time series

2005-01-19

arxiv.org/abs/physics/0501105v1

Physics

Data Analysis, Statistics and Probability

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

Scientific paper

10.1016/j.physa.2005.09.060

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.

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