Wavelet entropy and fractional Brownian motion time series
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DOI: 10.1016/j.physa.2005.09.060
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- Robert J. Elliott & John Van Der Hoek, 2003. "A General Fractional White Noise Theory And Applications To Finance," Mathematical Finance, Wiley Blackwell, vol. 13(2), pages 301-330, April.
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- Mastroeni, Loretta & Mazzoccoli, Alessandro & Vellucci, Pierluigi, 2024. "Wavelet entropy and complexity–entropy curves approach for energy commodity price predictability amid the transition to alternative energy sources," Chaos, Solitons & Fractals, Elsevier, vol. 184(C).
- Hedi Kortas & Zouhaier Dhifaoui & Samir Ben Ammou, 2012. "On wavelet analysis of the nth order fractional Brownian motion," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 21(3), pages 251-277, August.
- Zunino, L. & Pérez, D.G. & Garavaglia, M. & Rosso, O.A., 2007. "Wavelet entropy of stochastic processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 379(2), pages 503-512.
- Mastroeni, Loretta & Mazzoccoli, Alessandro & Vellucci, Pierluigi, 2024. "Studying the impact of fluctuations, spikes and rare events in time series through a wavelet entropy predictability measure," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 641(C).
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Keywords
Fractional Brownian motion; Wavelet theory; Hurst parameter; Mean normalized total wavelet entropy;All these keywords.
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