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

• Main Authors: Estrada-Vargas, Leopoldo, Toral-Cruz, Homero, Pathan, Al-Sakib Khan
• 格式: Conference or Workshop Item
• 语言: English
• 出版: 2011
• 主题: Q Science (General); QA76 Computer software
• 在线阅读: http://irep.iium.edu.my/1314/1/DNC-NAEC_11_-_FINAL.pdf; http://irep.iium.edu.my/1314/; http://www.cloudbus.org/cdn/dnc2011/

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...