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A generator of cauchy-distributed time series with specific Hurst index

A generator of artificial Cauchy-distributed time series is presented. This generator transforms any random time series, e.g., standardized fractional Gaussian noise (FGN), into a Cauchy-distributed series with specific location and scale parameters and correlation structure, determined by the Hurst...

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Main Authors: Estrada-Vargas, Leopoldo, Toral-Cruz, Homero, Pathan, Al-Sakib Khan
Format: Conference or Workshop Item
Language:English
Published: 2011
Subjects:
Q Science (General)
QA76 Computer software
Online Access:http://irep.iium.edu.my/1314/1/DNC-NAEC_11_-_FINAL.pdf
http://irep.iium.edu.my/1314/
http://www.cloudbus.org/cdn/dnc2011/
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spelling my.iium.irep.13142011-08-15T04:03:18Z http://irep.iium.edu.my/1314/ A generator of cauchy-distributed time series with specific Hurst index Estrada-Vargas, Leopoldo Toral-Cruz, Homero Pathan, Al-Sakib Khan Q Science (General) QA76 Computer software A generator of artificial Cauchy-distributed time series is presented. This generator transforms any random time series, e.g., standardized fractional Gaussian noise (FGN), into a Cauchy-distributed series with specific location and scale parameters and correlation structure, determined by the Hurst index. The proposed algorithm consists of an inverse cumulative distribution function (ICDF) transformation, a wavelet-analysis synthesis and, finally, a linear transformation. The resulting Cauchy-distributed series has approximately the desired location and scale parameters and exactly the desired Hurst index. The performance of the proposed generator is evaluated by estimating the location, scale and Hurst parameters from artificial time series and by calculating the mean squared error (MSE) of their cumulative distribution function (CDF). The input location, scale and Hurst index used in the simulations are taken from jitter samples of monitored Voice over Internet Protocol (VoIP) calls, which have been proved to be adequately modeled with these processes under some circumstances. 2011 Conference or Workshop Item REM application/pdf en http://irep.iium.edu.my/1314/1/DNC-NAEC_11_-_FINAL.pdf Estrada-Vargas, Leopoldo and Toral-Cruz, Homero and Pathan, Al-Sakib Khan (2011) A generator of cauchy-distributed time series with specific Hurst index. In: Networking and Electronic Commerce Research Conference 2011 (NAEC 2011), October 13-16, 2011, Riva del Garda, Italy. (In Press) http://www.cloudbus.org/cdn/dnc2011/
institution Universiti Islam Antarabangsa Malaysia
building IIUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider International Islamic University Malaysia
content_source IIUM Repository (IREP)
url_provider http://irep.iium.edu.my/
language English
topic Q Science (General)
QA76 Computer software
spellingShingle Q Science (General)
QA76 Computer software
Estrada-Vargas, Leopoldo
Toral-Cruz, Homero
Pathan, Al-Sakib Khan
A generator of cauchy-distributed time series with specific Hurst index
description A generator of artificial Cauchy-distributed time series is presented. This generator transforms any random time series, e.g., standardized fractional Gaussian noise (FGN), into a Cauchy-distributed series with specific location and scale parameters and correlation structure, determined by the Hurst index. The proposed algorithm consists of an inverse cumulative distribution function (ICDF) transformation, a wavelet-analysis synthesis and, finally, a linear transformation. The resulting Cauchy-distributed series has approximately the desired location and scale parameters and exactly the desired Hurst index. The performance of the proposed generator is evaluated by estimating the location, scale and Hurst parameters from artificial time series and by calculating the mean squared error (MSE) of their cumulative distribution function (CDF). The input location, scale and Hurst index used in the simulations are taken from jitter samples of monitored Voice over Internet Protocol (VoIP) calls, which have been proved to be adequately modeled with these processes under some circumstances.
format Conference or Workshop Item
author Estrada-Vargas, Leopoldo
Toral-Cruz, Homero
Pathan, Al-Sakib Khan
author_facet Estrada-Vargas, Leopoldo
Toral-Cruz, Homero
Pathan, Al-Sakib Khan
author_sort Estrada-Vargas, Leopoldo
title A generator of cauchy-distributed time series with specific Hurst index
title_short A generator of cauchy-distributed time series with specific Hurst index
title_full A generator of cauchy-distributed time series with specific Hurst index
title_fullStr A generator of cauchy-distributed time series with specific Hurst index
title_full_unstemmed A generator of cauchy-distributed time series with specific Hurst index
title_sort generator of cauchy-distributed time series with specific hurst index
publishDate 2011
url http://irep.iium.edu.my/1314/1/DNC-NAEC_11_-_FINAL.pdf
http://irep.iium.edu.my/1314/
http://www.cloudbus.org/cdn/dnc2011/
_version_ 1643604759701094400
score 13.211869

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