Open this publication in new window or tab >>2023 (English)In: Fractional Calculus and Applied Analysis, ISSN 1311-0454, E-ISSN 1314-2224Article in journal (Refereed) Published
Abstract [en]
This paper is devoted to the study of the properties of entropy as a function of the Hurst index, which corresponds to the fractional Gaussian noise. Since the entropy of the Gaussian vector depends on the determinant of the covariance matrix, and the behavior of this determinant as a function of the Hurst index is rather difficult to study analytically at high dimensions, we also consider simple alternative entropy functionals, whose behavior, on the one hand, mimics the behavior of entropy and, on the other hand, is not difficult to study. Asymptotic behavior of the normalized entropy (so called entropy rate) is also studied for the entropy and for the alternative functionals.
Keywords
Fractional Gaussian noise, Hurst index, Entropy, Entropy functionals, Entropy rate
National Category
Probability Theory and Statistics
Research subject
Mathematics/Applied Mathematics
Identifiers
urn:nbn:se:mdh:diva-62415 (URN)10.1007/s13540-023-00155-2 (DOI)000980824200002 ()2-s2.0-85156247682 (Scopus ID)
Funder
Swedish Foundation for Strategic Research, UKR22-0017The Research Council of Norway, 274410The Research Council of Norway, 274410
2023-05-082023-05-082024-01-09Bibliographically approved