Robustness of estimators of long-range dependence and self-similarity under non-Gaussianity
نویسندگان
چکیده
منابع مشابه
Robustness of estimators of long-range dependence and self-similarity under non-Gaussianity.
Long-range dependence (LRD) and non-Gaussianity are ubiquitous in many natural systems such as ecosystems, biological systems and climate. However, it is not always appreciated that the two phenomena may occur together in natural systems and that self-similarity in a system can be a superposition of both phenomena. These features, which are common in complex systems, impact the attribution of t...
متن کاملSelf-Similarity and Long-Range Dependence in Teletraffic
This paper revisits three important concepts in fractal type network traffic, namely, self-similarity (SS), long-range dependence (LRD), and local self-similarity (LSS). Based on those concepts, we address the reason why the local properties of fractional Gaussian noise (fGn) are contained in the global properties of fGn and vice versa, which may be a limitation of fGn in data traffic modeling....
متن کاملpatterns and variations in native and non-native interlanguage pragmatic rating: effects of rater training, intercultural proficiency, and self-assessment
although there are studies on pragmatic assessment, to date, literature has been almost silent about native and non-native english raters’ criteria for the assessment of efl learners’ pragmatic performance. focusing on this topic, this study pursued four purposes. the first one was to find criteria for rating the speech acts of apology and refusal in l2 by native and non-native english teachers...
15 صفحه اولSupremum Distribution of Gaussian Processes and Queueing Analysis including Long-Range Dependence and Self-similarity
In this report we study the supremum distribution of a general class of Gaussian processes {Xt : t 2 0 ) having stationary increments. This distribution is directly related to the steady state queue length distribution of a queueing system, and hence its study is also important for various applications including communication network analysis. Our study is based on Extreme Value Theory and we s...
متن کاملEstimators for Long Range Dependence: An Empirical Study
We present the results of a simulation study into the properties of 12 different estimators of the Hurst parameter, H, or the fractional integration parameter, d, in long memory time series. We compare and contrast their performance on simulated Fractional Gaussian Noises and fractionally integrated series with lengths between 100 and 10,000 data points and H values between 0.55 and 0.90 or d v...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Philosophical Transactions of the Royal Society A: Mathematical, Physical and Engineering Sciences
سال: 2012
ISSN: 1364-503X,1471-2962
DOI: 10.1098/rsta.2011.0349