Lookup NU author(s): Dr Francesco Serinaldi
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License (CC BY-NC 4.0).
We introduce a fast and efficient non-iterative algorithm, called BetaBit, to simulate autocorrelated binary processes describing the occurrence of natural hazards, system failures, and other physical and geophysical phenomena characterized by persistence, temporal clustering, and low rate of occurrence. BetaBit overcomes the simulation constraints posed by the discrete nature of the marginal distributions of binary processes by using the link existing between the correlation coefficients of this process and those of the standard Gaussian processes. The performance of BetaBit is tested on binary signals with power-law and exponentially decaying autocorrelation functions (ACFs) corresponding to Hurst-Kolmogorov and Markov processes. An application to real world sequences describing rainfall intermittency and the occurrence of strong positive phases of the North Atlantic Oscillation (NAO) index shows that BetaBit can also simulate surrogate data preserving the empirical ACF as well as signals with autoregressive moving average (ARMA) dependence structures. Extensions to cyclo-stationary processes accounting for seasonal fluctuations are also discussed.
Author(s): Serinaldi F, Lombardo F
Publication type: Article
Publication status: Published
Journal: EPL (Europhysics Letters)
Print publication date: 01/05/2017
Online publication date: 14/07/2017
Acceptance date: 21/06/2017
ISSN (print): 0295-5075
ISSN (electronic): 1286-4854
Publisher: IOP Publishing
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