A generator of cauchy-distributed time series with specific Hurst index
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...
Main Authors: | Estrada-Vargas, Leopoldo, Toral-Cruz, Homero, Pathan, Al-Sakib Khan |
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Format: | Proceeding Paper |
Language: | English |
Published: |
2011
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Subjects: | |
Online Access: | http://irep.iium.edu.my/1314/1/DNC-NAEC_11_-_FINAL.pdf |
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