Density Estimation 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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| An on-line version of the Abry-Veitch wavelet based estimator of the Hurst parameter is presented. It has very low memory and computational requirements and scales naturally to arbitrarily high data rates, enabling its use in real-time applications such as admission control, and avoiding the need to store huge data sets for oo-line analysis. An implementation for Ethernet based on standard ha...
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The local Whittle (or Gaussian semiparametric) estimator of long range dependence, proposed by Künsch (1987) and analyzed by Robinson (1995a), has a relatively slow rate of convergence and a finite sample bias that can be large. In this paper, we generalize the local Whittle estimator to circumvent these problems. Instead of approximating the short-run component of the spectrum, φ(λ), by a cons...
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Over the last ten years, long-range dependence (LRD) has become a key concept in modeling networking phenomena. The research community has undergone a mental shift from Poisson and memoryless processes to LRD and bursty processes. Despite its popularity, LRD analysis is hindered by two main problems: a) it cannot be used by nonexperts easily, and b) the identification of LRD is often questioned...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 1995
ISSN: 0090-5364
DOI: 10.1214/aos/1176324632