Fractional Brownian motion, fractional Gaussian noise, and Tsallis permutation entropy

L. ZUNINO; D. G. PÉREZ; A. KOWALSKI; M. T. MARTÍN; M. GARAVAGLIA; A. PLASTINO; O. A. ROSSO

PHYSICA A - STATISTICAL AND THEORETICAL PHYSICS

Elsevier Science

Año: 2008 vol. 387 p. 6057 - 6068

0378-4371

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 extrac 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.