Detection of a long-range time dependence in the radial cross-correlation function is normally difficult because of the oscillatory behavior of the cross-correlation tail, its low level of coherence, and noise contamination. This problem persists, even with large statistical samples. In this paper, a method for investigating long-range dependence in a single time series is extended to the calcu...

A simple first-order recurrence in a (max, +) dynamic system is numerically investigated and shown to exhibit statistical long-range dependence, characterized by slowly decaying aggregated variances and power-law evolutions of the autocorrelation and spectrum. We propose this model as a basis for a very parsimonious modeling of some long-range dependent processes such as data traffic.

This paper presents empirical evidence of long range dependence in returns and volatility for banking indices for 41 different countries. We employ the Rescaled Hurst analysis and develop a formal statistical procedure to test for long range dependence. This procedure allows to rank these countries by relative inefficiency, which can provide guidance for investors and portfolio managers. Keywor...

A bond and stock model is considered where the driving process is the sum of a Wiener process W and a continuous process Z with zero generalized quadratic variation. By means of forward integrals a hedge against Markov type claims is contructed. If Z is independent of W under some natural assumptions on Z and the admissible portfolio processes the model is shown to be arbitrage free. The fair p...

This paper analyzes how TCP congestion control can propagate self-similarity between distant areas of the Internet. This property of TCP is due to its congestion control algorithm, which adapts to self-similar uctuations on several timescales. The mechanisms and limitations of this propagation are investigated, and it is demonstrated that if a TCP connection shares a bottleneck link with a self...

In this paper we analyze a number of IP packet level very-high-speed Backbone Network Service (vBNS) tra c traces collected by the San Diego Supercomputer Center (SDSC) National Laboratory for Applied Network Research (NLANR) measurement and analysis group passive monitors at a number of highperformance connection (HPC) sites. Speci cally, we show that the vBNS tra c traces also have long-range...

We discuss the optimal design problem in regression models with long range dependence error structure. Asymptotic optimal designs are derived and it is demonstrated that these designs depend only indirectly on the correlation function. Several examples are investigated to illustrate the theory. Finally the optimal designs are compared with asymptotic optimal designs, which were derived by Bicke...

In this paper the third order long-range dependence (LRD) is de…ned in terms of the bispectrum and third order cumulants (bicovariances). Two particular non-Gaussian processes with second order LRD are considered together with their bispectra and bicovariances. AMS 2000 Subject Classi…cations: Primary 62M10, 37M10; secondary 62M15, 91B70. Dedicated to Endre Csáki and Pál Révész on the occasion ...

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 ...

In this paper we present results about the presence of long-range dependence in onchip processor traffic as well as a study of the impact of long-range dependence on networks-on-chip. Long-range dependence is a property of stochastic processes that has an important impact on network performance, especially on the buffer usage in the routers. In this paper we propose to investigate the presence ...