Statistical estimation of nonstationary Gaussian processes with long-range dependence and intermittency
نویسندگان
چکیده
منابع مشابه
Statistical Aspects of Stationary Processes with Long-range Dependence
The assumption of independence is often only an approximation to the real correlation structure. Models with short-range memory are well known and often used in practice. However even for supposedly i.i.d. high~uality data slowly decaying correlations may occur. If not taken into account, they have disastrous effects on tests and confidence intervals. Stationary processes with a pole of the spe...
متن کاملInvariance principle, multifractional Gaussian processes and long-range dependence
This paper is devoted to establish an invariance principle where the limit process is a multifractional Gaussian process with a multifractional function which takes its values in (1/2,1). Some properties, such as regularity and local self-similarity of this process are studied. Moreover the limit process is compared to the multifractional Brownian motion. Résumé. Ce papier a pour but d’établir ...
متن کاملFractional Processes with Long-range Dependence
Abstract. We introduce a class of Gaussian processes with stationary increments which exhibit long-range dependence. The class includes fractional Brownian motion with Hurst parameter H > 1/2 as a typical example. We establish infinite and finite past prediction formulas for the processes in which the predictor coefficients are given explicitly in terms of the MA(∞) and AR(∞) coefficients. We a...
متن کاملSupremum 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 کاملOn Scaling Limits of Arrival Processes with Long-Range Dependence
Various classes of arrival processes in telecommunication traffic modeling based on heavy-tailed interarrival time distributions exhibit long-range dependence. This includes arrival rate processes of Anick-MitraSondhi (AMS) type where the rate process is an on/off-process with heavy-tailed on-period distribution and/or off-period distribution, as well as generalized Kosten type models (infinite...
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: Stochastic Processes and their Applications
سال: 2002
ISSN: 0304-4149
DOI: 10.1016/s0304-4149(02)00092-3