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.
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