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

DOI10.1007/S13540-023-00155-2zbMATH Open1522.60045arXiv2301.13378OpenAlexW4367856933MaRDI QIDQ6073783FDOQ6073783

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)

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.

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)

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Cited In (2)

• Combinatorial approach to the calculation of projection coefficients for the simplest Gaussian-Volterra process
• Price predictability at ultra-high frequency: entropy-based randomness test

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