Characterization of fractional Brownian motion time series by quantifiers based on the wavelet transform

DARÍO G. PÉREZ; LUCIANO ZUNINO; MARIO GARAVAGLIA; OSVALDO A. ROSSO

La Serena, Chile

Conferencia; XIV Conference on Nonequilibrium Statistical Mechanics and Nonlinear Physics (MEDYFINOL'04); 2004

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. The aim of this work is to understand the differences in the information obtained from them, if any.