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

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)

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Abstract

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.

Item Type: Conference or Workshop Item (Full Paper)
Additional Information: 6841/1314
Uncontrolled Keywords: Cauchy-distributed time series, Hurst index, Quality of service (QoS)
Subjects: Q Science > Q Science (General)
Q Science > QA Mathematics > QA76 Computer software
Kulliyyahs/Centres/Divisions/Institutes: Kulliyyah of Information and Communication Technology > Department of Computer Science
Kulliyyah of Information and Communication Technology > Department of Computer Science
Depositing User: Dr. Al-Sakib Khan Pathan
Date Deposited: 15 Aug 2011 12:03
Last Modified: 15 Aug 2011 12:03
URI: http://irep.iium.edu.my/id/eprint/1314

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