A correlation-based computational model for synthesizing long-range dependent data. (Q1428211): Difference between revisions
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Latest revision as of 15:43, 6 June 2024
scientific article
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English | A correlation-based computational model for synthesizing long-range dependent data. |
scientific article |
Statements
A correlation-based computational model for synthesizing long-range dependent data. (English)
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14 March 2004
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A second-order stationary random function \(x(t)\) is called a stationary process with long-range dependent (LRD) data if \[ r_x(t)= E[x(t) x(t+\tau)]\sim c\tau^{2H- 2}\,(\tau\to \infty),\;H\in (0.5, 1), \] where \(c> 0\); the parameter \(H\) is called the Hurst parameter. The authors present a computation model to generate LRD data according to a given correlation structure by filtering white noise.
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Long-range dependent data generation
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Brownian motion
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Fractional Gaussian noise
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Filters
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Fourier analysis
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Teletraffic
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Stationary process
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Hurst parameter
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