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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Bibliographic Details
Main Authors: Estrada-Vargas, Leopoldo, Toral-Cruz, Homero, Pathan, Al-Sakib Khan
Format: Conference or Workshop Item
Language:English
Published: 2011
Subjects:
Online Access:http://irep.iium.edu.my/1314/
http://irep.iium.edu.my/1314/
http://irep.iium.edu.my/1314/1/DNC-NAEC_11_-_FINAL.pdf