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

TL;DR

This paper investigates how entropy and alternative entropy measures of fractional Gaussian noise vary with the Hurst index, analyzing their properties and asymptotic behavior to better understand their dependence.

Contribution

It introduces and analyzes alternative entropy functionals that are easier to study than the traditional entropy of fractional Gaussian noise.

Findings

Entropy depends on the determinant of the covariance matrix.

Alternative entropy functionals mimic entropy behavior.

Asymptotic analysis of entropy rate is provided.

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.