A Markov Chain based method for generating long-range dependence

Details A Markov Chain based method for generating long-range dependence A Markov Chain based method for generating long-range dependence

2006-10-23

arxiv.org/abs/cs/0610134v1

Phys. Rev. E 72, 026118 2005

Computer Science

Networking and Internet Architecture

8 pages, 2 figures

Scientific paper

10.1103/PhysRevE.72.026118

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 literature

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