Fast simulation of self-similar and correlated processes

DOI10.1016/J.MATCOM.2010.01.010MaRDI QIDQ991165zbMATH OpenOpenAlexFDO

Authors M. E. Sousa-Vieira, J. C. López-Ardao, Andrés Suárez-González, Cándido López-García, Manuel Fernández-Veiga, Raúl F. Rodríguez-Rubio

Publication date 2 September 2010

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2010.01.010

zbMATH Keywords

computational complexitynumerical examplesefficient on-line generationpersistent correlations\(M/G/\infty \) processGaussian self-similar time seriessequential pseudo-random number generator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Random number generation in numerical analysis (65C10) Complexity and performance of numerical algorithms (65Y20)

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Cites work

• scientific article; zbMATH DE number 3688413 (Why is no real title available?)
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• scientific article; zbMATH DE number 2239774 (Why is no real title available?)
• A multifractal wavelet model with application to network traffic
• A new heavy-tailed discrete distribution for LRD M/G/∞ sample generation
• A storage model with self-similar input
• Convergence of integrated superpositions of Ornstein-Uhlenbeck processes to fractional Brownian motion
• ESTIMATION AND SIMULATION OF FRACTAL STOCHASTIC POINT PROCESSES
• Estimation and information in stationary time series
• FAST, EFFICIENT ON-LINE SIMULATION OF SELF-SIMILAR PROCESSES
• How heavy-tailed distributions affect simulation-generated time averages
• Long memory relationships and the aggregation of dynamic models
• On fast generation of fractional Gaussian noise
• On improving the efficiency of an M/G/\(\infty \) generator of correlated traces
• On the use of self-similar processes in network simulation
• Point process models for self-similar network traffic, with applications
• Queueing at large resources driven by long-tailed \(M/G/\infty\)-modulated processes
• Self-similar communication models and very heavy tails.
• Small and large time scale analysis of a network traffic model
• The Impact of Autocorrelation on Queuing Systems
• The \(M/G/\infty\) system revisited: finiteness, summability, long range dependence, and reverse engineering
• Wavelet analysis of long-range-dependent traffic

Cited in

(11)

• Fast simulations of stochastic dynamical systems
• Improved generator of long-memory processes
• Fast simulation of broadband telecommunications networks carrying long-range dependent bursty traffic
• A correlation-based computational model for synthesizing long-range dependent data.
• Fast synthesis of persistent fractional Brownian motion
• Generation of self-similar processes for simulation studies of telecommunication networks
• GENERATION AND PREDICTION OF SELF-SIMILAR PROCESSES BY SURROGATES
• On improving the efficiency of an M/G/\(\infty \) generator of correlated traces
• Efficient parameter estimation for self-similar processes
• Methods of simulation queueing systems with heavy tails
• Fast FILTERSIM simulation with score-based distance

Describes a project that uses

Uses Software

• longmemo

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