1 research outputs found
A Markov Chain based method for generating long-range dependence
This paper describes a model for generating time series which exhibit the
statistical phenomenon known as long-range dependence (LRD). A Markov Modulated
Process based upon an infinite Markov chain is described. The work described is
motivated by applications in telecommunications where LRD is a known property
of time-series measured on the internet. The process can generate a time series
exhibiting LRD with known parameters and is particularly suitable for modelling
internet traffic since the time series is in terms of ones and zeros which can
be interpreted as data packets and inter-packet gaps. The method is extremely
simple computationally and analytically and could prove more tractable than
other methods described in the literatureComment: 8 pages, 2 figure