Pedro R. M. Inácio
Abstract
Due to the relevance of self-similarity analysis in several research areas, there is an increased interest in methods to generate realizations of self-similar processes, namely in the ones capable of simulating long-range dependence. This article describes a new algorithm to approximate persistent fractional Brownian motions with a predefined Hurst parameter. The algorithm presents a computational complexity of O(n) and generates sequences with n (n∈ N) values with a small multiple of log2(n) variables. Because it operates in a sequential manner, the algorithm is suitable for simulations demanding real-time operation. A network traffic simulator is presented as one of its possible applications.
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Index Terms
- Fast synthesis of persistent fractional Brownian motion
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