Bootstrap testing for discontinuities under long-range dependence
نویسندگان
چکیده
منابع مشابه
Measuring Long - Range Dependence under Changing
Recent measurements of various types of network traac have shown evidence consistent with long-range dependence and self-similarity. However, an alternative explanation for these measurements is non-stationarity in the data. Standard estimators of LRD parameters such as the Hurst parameter H assume stationarity and are susceptible to bias when this assumption does not hold. Hence LRD may be ind...
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Recent measurements of various types of network traffic have shown evidence consistent with long-range dependence and self-similarity. However, an alternative explanation for these measurements is non-stationarity. Standard estimators of LRD parameters such as the Hurst parameter H assume stationarity and are susceptible to bias when this assumption does not hold. Hence LRD may be indicated by ...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2012
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2011.10.003