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“School of Physics”

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Paper   IPM / P / 12620
School of Physics
  Title:   Rotation Algorithm: Generation of Gaussian Self-Similar Stochastic Processes
  Author(s): 
1 . M. Vahabi
2 . G. R. Jafari
  Status:   Published
  Journal: Phys. Rev. E
  Vol.:  86
  Year:  2012
  Pages:   066704
  Supported by:  IPM
  Abstract:
In this paper, we introduce a simple and practical method to generate Gaussian self-similar stochastic process (fractional Gaussian noises (fGns) and fractional Brownian motions (fBms)) by interpolating between two known series of them. We apply the rotation algorithm to different cases including different pairs of fBms (fGns) and also different pairs each composed of an fBm and an fGn. Our results show that the sensitivity of our method for two fBms (fGns) is higher when approaching the series with larger (smaller) Hurst exponent and for the case with one fBm and one fGn by approaching the Hurst exponent of the initial fBm, the Hurst exponent of the produced series changes more. Surprisingly, by using this method, we can generate (positively and/or negatively) correlated series from two uncorrelated ones (one Brownian motion and one white Gaussian noise) or it is possible to generate uncorrelated signals from correlated ones. For two fGns, using the rotation algorithm, the evolution starts from larger scales in the system while for two fBms, the evolution starts from smaller scales in the system.

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