Entropy and entropy functionals of fractional processes

Mishura Yuliya, Taras Shevchenko National University of Kyiv

We study 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. This topic is contained in the paper Malyarenko, A., Mishura, Y., Ralchenko, K., & Shklyar, S. (2023). Entropy and alternative entropy functionals of fractional Gaussian noise as the functions of Hurst index. Fractional Calculus and Applied Analysis, 1-30.

Area: CS30 - Fractional processes and Malliavin calculus for stochastic models (Enrica Pirozzi)

Keywords: entopy, entropy functional, fractional Gaussian noise, entropy rate

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