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General simulation algorithm for autocorrelated binary processes.

Francesco Serinaldi1,2, Federico Lombardo3

  • 1School of Civil Engineering and Geosciences, Newcastle University, Newcastle Upon Tyne, NE1 7RU, United Kingdom.

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This study presents a novel method for generating binary sequences with specific autocorrelation. The approach models the underlying continuous process, enabling effective simulation of complex binary signals.

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Area of Science:

  • Physics
  • Stochastic Processes
  • Data Science

Background:

  • Binary random processes are common in various scientific fields.
  • Generating binary sequences with controlled autocorrelation is difficult due to discrete distributions.
  • Classical spectral techniques are problematic for discrete binary processes.

Purpose of the Study:

  • To develop an effective method for simulating binary sequences with prescribed autocorrelation.
  • To overcome the limitations of classical spectral techniques for discrete binary processes.

Main Methods:

  • Modeling the parent continuous process with beta-distributed transition probabilities.
  • Adapting spectral techniques, specifically the iterative amplitude-adjusted Fourier transform method, for continuous processes.
  • Applying this paradigm shift to simulate binary signals.

Main Results:

  • The proposed method effectively simulates binary signals with power-law and exponential autocorrelation functions.
  • The algorithm successfully models processes like Hurst-Kolmogorov and Markov processes.
  • Demonstrated application in simulating rainfall intermittency data, preserving empirical autocorrelation.

Conclusions:

  • A novel and generalizable algorithm for simulating binary sequences with controlled autocorrelation has been developed.
  • The method offers a significant advancement over traditional techniques by focusing on the continuous parent process.
  • The algorithm has practical applications in modeling complex natural phenomena and generating realistic surrogate data.