Entropy and alternative entropy functionals of fractional Gaussian noise as the functions of Hurst index

DOI10.1007/S13540-023-00155-2MaRDI QIDQ6073783zbMATH OpenOpenAlexFDO

Authors Anatoliy Malyarenko, Yuliya S. Mishura, K. V. Ral'chenko, S. V. Shklyar

Publication date 12 October 2023

Published in Fractional Calculus \ Applied Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2301.13378

zbMATH Keywords

entropyfractional Gaussian noiseHurst indexentropy functionalsentropy rate

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Measures of information, entropy (94A17) Stationary stochastic processes (60G10)

Abstract: 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.

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