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/ http://irep.iium.edu.my/1314/ http://irep.iium.edu.my/1314/1/DNC-NAEC_11_-_FINAL.pdf

id	iium-1314
recordtype	eprints
spelling	iium-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 PeerReviewed 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/
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
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/ http://irep.iium.edu.my/1314/ http://irep.iium.edu.my/1314/1/DNC-NAEC_11_-_FINAL.pdf
first_indexed	2023-09-18T20:08:34Z
last_indexed	2023-09-18T20:08:34Z
_version_	1777407324093153280

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

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