Wavelet Fisher’s Information Measure of 1=fα Signals
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Data
2011-09Autor
Ramírez-Pacheco, Julio
Torres-Román, Deni
Rizo-Domínguez, Luis
Trejo-Sánchez, Joel
Manzano-Pinzón, Franciso
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This article defines the concept of wavelet-based Fisher’s information measure (wavelet FIM) and develops a closed-form expression of this measure for 1/fα signals. Wavelet Fisher’s information measure characterizes the complexities associated to 1/fα signals and provides a powerful tool for their analysis. Theoretical and experimental studies demonstrate that this quantity is exponentially increasing for α > 1 (non-stationary signals) and almost constant for α < 1 (stationary signals). Potential applications of wavelet FIM are discussed in some detail and its power and robustness for the detection of structural breaks in the mean embedded in stationary fractional Gaussian noise signals studied.Consejo Nacional de Ciencia y Tecnología
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