Affiliation:
1. Division of Mathematics and Physics, Mälardalen University, 721 23 Västerås, Sweden
2. Department of Probability Theory, Statistics and Actuarial Mathematics, Taras Shevchenko National University of Kyiv, 64/13 Volodymyrska St., 01601 Kyiv, Ukraine
Abstract
We consider five types of entropies for Gaussian distribution: Shannon, Rényi, generalized Rényi, Tsallis and Sharma–Mittal entropy, establishing their interrelations and their properties as the functions of parameters. Then, we consider fractional Gaussian processes, namely fractional, subfractional, bifractional, multifractional and tempered fractional Brownian motions, and compare the entropies of one-dimensional distributions of these processes.
Funder
Swedish Foundation for Strategic Research
Japan Science and Technology Agency
The Research Council of Norway
Subject
Geometry and Topology,Logic,Mathematical Physics,Algebra and Number Theory,Analysis
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