The design and evaluation of the Simple Self-Similar Sequences Generator

Abstract: This paper describes a new algorithm for the generation of pseudo random numbers with approximate self-similar structure. The Simple Self-Similar Sequences Generator (4SG) elaborates on an intuitive approach to obtain a fast and accurate procedure, capable of reproducing series of points exhibiting the property of persistence and anti-persistence. 4SG has a computational complexity of and memory requirements of the order of , where is the number of points to be generated. The accuracy of the algorithm is evaluated by means of computer-based simulations, recurring to several Hurst parameter estimators, namely Variance Time (VT) and the Wavelets-based estimator. The Hosking and the Wavelets-based methods for the generation of self-similar series were submitted to the same tests the 4SG was analysed with, providing for a basis for comparison of several performance aspects of the algorithm. Results show that the proposal embodies a good candidate not only for on-demand emulation of arbitrarily long self-similar sequences, but also for fast and efficient online simulations. [Copyright &y& Elsevier]