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Entropy and alternative entropy functionals of fractional Gaussian noise as the functions of Hurst index
Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. (Mathematics/Applied Mathematics)ORCID iD: 0000-0002-0139-0747
Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. Shevchenko National University of Kyiv, Ukraine. (Mathematics/Applied Mathematics)
Sydney Mathematical Research Institute, The University of Sydney, Sydney NSW 2006, Australia.
Department of Probability Theory, Statistics and Actuarial Mathematics, Taras Shevchenko National University of Kyiv, 64/13, Volodymyrska Street, 01601 Kyiv, Ukraine.
(English)Manuscript (preprint) (Other academic)
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 [en]
Fractional Gaussian noise, Hurst index, entropy, entropy functionals, entropy rate
National Category
Probability Theory and Statistics
Research subject
Mathematics/Applied Mathematics
Identifiers
URN: urn:nbn:se:mdh:diva-61727DOI: 10.48550/arXiv.2301.13378OAI: oai:DiVA.org:mdh-61727DiVA, id: diva2:1733059
Funder
Swedish Foundation for Strategic Research, UKR22-0017The Research Council of Norway, 274410Available from: 2023-02-01 Created: 2023-02-01 Last updated: 2023-02-08Bibliographically approved

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Publisher's full texthttps://arxiv.org/abs/2301.13378

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Malyarenko, Anatoliy

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