Wavelet entropy of stochastic processes

Abstract

We compare two different definitions for the wavelet entropy associated to stochastic processes. The first one, the Normalized Total Wavelet Entropy (NTWS) family [Phys. Rev. E 57 (1998) 932; J. Neuroscience Method 105 (2001) 65; Physica A (2005) in press] and a second introduced by Tavares and Lucena [Physica A 357 (2005)~71]. In order to understand their advantages and disadvantages, exact results obtained for fractional Gaussian noise (-1<alpha< 1) and the fractional Brownian motion (1 < alpha < 3) are assessed. We find out that NTWS family performs better as a characterization method for these stochastic processes.