title: General simulation algorithm for autocorrelated binary processes.
abstract: The apparent ubiquity of binary random processes in physics and many other fields has attracted considerable attention from the modeling community. However, generation of binary sequences with prescribed autocorrelation is a challenging task owing to the discrete nature of the marginal distributions, which makes the application of classical spectral techniques problematic. We show that such methods can effectively be used if we focus on the parent continuous process of beta distributed transition probabilities rather than on the target binary process. This change of paradigm results in a simulation procedure effectively embedding a spectrum-based iterative amplitude-adjusted Fourier transform method devised for continuous processes. The proposed algorithm is fully general, requires minimal assumptions, and can easily simulate binary signals with power-law and exponentially decaying autocorrelation functions corresponding, for instance, to Hurst-Kolmogorov and Markov processes. An application to rainfall intermittency shows that the proposed algorithm can also simulate surrogate data preserving the empirical autocorrelation.
authors.affiliation: School of Civil Engineering and Geosciences, Newcastle University, Newcastle Upon Tyne, NE1 7RU, United Kingdom.|Willis Research Network, 51 Lime St., London EC3M 7DQ, United Kingdom.
authors.forename: Francesco
authors.initials: F
authors.lastname: Serinaldi
authors.affiliation: Dipartimento di Ingegneria, Università degli Studi Roma Tre, Via Vito Volterra 62, 00146 Rome, Italy.
authors.forename: Federico
authors.initials: F
authors.lastname: Lombardo