The webinars will take place on Zoom and a link to the virtual room will be sent out to all those who registered at the registration page.
Speaker: Yuliya Mishura (Taras Shevchenko National University of Kyiv and Màˆlardalen University)
Title: Entropy and alternative entropy functionals of fractional Gaussian noise
Abstract: We study the properties of entropy which corresponds to the fractional Gaussian noise, as a function of the Hurst index. 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.
The results are presented in the paper "Entropy and alternative entropy functionals of fractional Gaussian noise as the functions of Hurst index", Malyarenko, A., Mishura, Y., Ralchenko, K., Shklyar, S., Fractional Calculus and Applied Analysis, 2023, 26(3), pp. 1052–1081
This series of webinars addresses all interested people in probability, stochastic analysis, control, risk evaluation, statistics, with a view towards applications, in particular to renewable energy markets and production. This series brings together the major research themes of the projects STORM, SCROLLER, and SPATUS.