Wavelet entropy of stochastic processes

LUCIANO ZUNINO, DARÍO G. PÉREZ, MARIO GARAVAGLIA AND OSVALDO A. ROSSO

PHYSICA A - STATISTICAL AND THEORETICAL PHYSICS

Elsevier

Lugar: Amsterdam, The Netherlands; Año: 2007 vol. 379 p. 503 - 512

0378-4371

We compare two different definitions for the wavelet entropy associated to stochastic processes. The first one, the Normalized Total Wavelet Entropy (NTWS) family [Phys. Rev. E, Vol. 57 (1998) 932; J. Neuroscience Method, Vol. 105 (2001) 65] and a second introduced by Tavares and Lucena [Physica A, Vol. 357 (2005) 71]. In order to understand their advantages and disadvantages, exact results obtained for fractional Gaussian noise (-1<alpha< 1) and fractional Brownian motion (1 <alpha< 3) are assessed. We find out that the NTWS family performs better as a characterization method for these stochastic processes.