A correlation-based computational model for synthesizing long-range dependent data.
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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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Cites work
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Cited in
(13)- Novel method for generating long-range correlations
- Record length requirement of long-range dependent teletraffic
- Maximum likelihood estimation of clock skew in IEEE 1588 with fractional Gaussian noise
- Generalized Cauchy model of sea level fluctuations with long-range dependence
- Revisiting fractional Gaussian noise
- A fractional linear system view of the fractional Brownian motion
- Power-law correlations, related models for long-range dependence and their simulation
- How complete random permutations affect the dependence structure of stationary sequences with long-range dependence
- Correlation models with long-range dependence
- MODELING NETWORK TRAFFIC USING CAUCHY CORRELATION MODEL WITH LONG-RANGE DEPENDENCE
- Fractal time series -- A tutorial review
- Specific differential equations for generating pulse sequences
- Variance bound of ACF estimation of one block of fGn with LRD
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