Wavelet entropy of stochastic processes

L. ZUNINO; D. G. PEREZ; M, GARAVAGLIA; O. A. ROSSO

PHYSICA A - STATISTICAL AND THEORETICAL PHYSICS

Elsevier

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 [S. Blanco, A. Figliola, R.Q. Quiroga, O.A. Rosso, E. Serrano, Time–frequency analysis of electroencephalogram series, III. Wavelet packets and information cost function, Phys. Rev. E 57 (1998) 932–940; O.A. Rosso, S. Blanco, J. Yordanova, V. Kolev, A. Figliola, M. Schurmann, E. Basar, Wavelet entropy: a new tool for analysis of short duration brain electrical signals, J. Neurosci. Method 105 (2001) 65–75] and a second introduced by Tavares and Lucena [Physica A 357(1) (2005) 71–78]. 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 assess are assessed. We find out that the NTWS family performs better as a characterization method for these stochastic processes.