Mostrar el registro sencillo del ítem
dc.contributor.author
Rosenblatt, Mariel
dc.contributor.author
Serrano, Eduardo Pedro
dc.contributor.author
Figliola, Maria Alejandra
dc.date.available
2024-09-09T12:57:36Z
dc.date.issued
2012-10
dc.identifier.citation
Rosenblatt, Mariel; Serrano, Eduardo Pedro; Figliola, Maria Alejandra; An entropy based in wavelet leaders to quantify the local regularity of a signal and its application to analyze the Dow Jones index; World Scientific; International Journal of Wavelets, Multiresolution and Information Processing; 10; 5; 10-2012; 1-17
dc.identifier.issn
0219-6913
dc.identifier.uri
http://hdl.handle.net/11336/243822
dc.description.abstract
Local regularity analysis is useful in many fields, such as financial analysis, fluid mechanics,PDE theory, signal and image processing. Different quantifiers have been proposedto measure the local regularity of a function. In this paper we present a new quantifier of local regularity of a signal: the pointwise wavelet leaders entropy. We define this new measure of regularity by combining the concept of entropy, coming from the information theory and statistical mechanics, with the wavelet leaders coefficients. Also we establish its inverse relation with one of the well-known regularity exponents, the pointwise H¨older exponent. Finally, we apply this methodology to the financial data series of the Dow Jones Industrial Average Index, registered in the period 1928?2011, in order to compare the temporal evolution of the pointwise H¨older exponent and the pointwise wavelet leaders entropy. The analysis reveals that temporal variation of these quantifiers reflects the evolution of the Dow Jones Industrial Average Index and identifies historical crisis events.
dc.format
application/pdf
dc.language.iso
eng
dc.publisher
World Scientific
dc.rights
info:eu-repo/semantics/openAccess
dc.rights.uri
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.subject
LOCAL REGULARITY
dc.subject
ENTROPY
dc.subject
WAVELET LEADERS
dc.subject.classification
Matemática Aplicada
dc.subject.classification
Matemáticas
dc.subject.classification
CIENCIAS NATURALES Y EXACTAS
dc.title
An entropy based in wavelet leaders to quantify the local regularity of a signal and its application to analyze the Dow Jones index
dc.type
info:eu-repo/semantics/article
dc.type
info:ar-repo/semantics/artículo
dc.type
info:eu-repo/semantics/publishedVersion
dc.date.updated
2024-09-09T10:54:47Z
dc.journal.volume
10
dc.journal.number
5
dc.journal.pagination
1-17
dc.journal.pais
Singapur
dc.description.fil
Fil: Rosenblatt, Mariel. Universidad Nacional de General Sarmiento. Instituto del Desarrollo Humano; Argentina
dc.description.fil
Fil: Serrano, Eduardo Pedro. Universidad Nacional de San Martín. Escuela de Ciencia y Tecnología; Argentina
dc.description.fil
Fil: Figliola, Maria Alejandra. Universidad Nacional de General Sarmiento. Instituto del Desarrollo Humano; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
dc.journal.title
International Journal of Wavelets, Multiresolution and Information Processing
dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/doi/http://dx.doi.org/10.1142/S0219691312500488
Archivos asociados