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

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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...

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Bibliographic Details
Main Authors:	Estrada-Vargas, Leopoldo, Toral-Cruz, Homero, Pathan, Al-Sakib Khan
Format:	Proceeding Paper
Language:	English
Published:	2011
Subjects:	Q Science (General) QA76 Computer software
Online Access:	http://irep.iium.edu.my/1314/ http://irep.iium.edu.my/1314/1/DNC-NAEC_11_-_FINAL.pdf

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