This paradigm is illustrated through the two long-range dependent models: Second-order self-similar, and fracti... Ech-Cherif El Kettani, Mohammed El Houssain. - The University of Wisconsin - Madison. 被引量: 85发表: 2002年 Multifractality and long-range dependence of asset returns: The ...
Long range dependent (LRD) stationary time series have historically served to model real time series with apparent changes in local mean level. A natural tool to study changes in local mean level is the unbalanced Haar wavelet transformation (UHT). In this work, UHT is used to study changes ...
Wavelet analysis of long-range dependent traffic Network traffic exhibits fractal characteristics such as self-similarity and long-range dependence. Several estimators of fractal parameters have been deve... F Minerva 被引量: 0发表: 0年 Wavelet Analysis of long-memory Processes The statistical properti...
The stationary processes of waiting times {W n } n = 1,2,… in a GI/G/1 queue and queue sizes at successive departure epochs {Q n}n = 1,2,… in an M/G/1 queue are long-range dependent when 3 < κ S < 4, where κ S is the moment index of the independent identically dis...
it allows for dependent events, such as foreshocks and aftershocks, thus avoiding the tricky phase of catalog declustering. In addition, its simple, yet effective, parameterization makes our model suitable for large-scale applications. In this study, the model is coupled with a smoothed gridded ...
(1995). Distant long-range dependent sums and regression estimation. Stochastic Processes and Applications, 59:143-155.CSORGO, S. and J. MIELNICZUK (1995), "Distant Long-Range Depen- dent Sums and Regression Estimation", Stochastic Processes and Their Applications 59, 143-155....
The block bootstrap has been largely developed for weakly dependent time processes and, in this context, much research has focused on the large-sample properties of block bootstrap inference about sample means. This work validates the block bootstrap for distribution estimation with stationary, linear...
Li, M., Li, J.-Y.: On the predictability of long-range dependent series. Math. Probl. Eng. (2010). : 10.1155/2010/397454On the predictability of long-range dependent series - Li, LiM. Li and J.-Y. Li, "On the predictability of long-range dependent series," ...
We propose a testing procedure based on the Wilcoxon two-sample test statistic in order to testfor change-points in the mean of long-range dependent data. We show that the correspondingself-normalized test statistic converges in distribution to a non-degenerate limit under the hypothesisthat no ...
Using the Modified Allan Variance for Accurate Estimation of the Hurst Parameter of Long-Range Dependent Traffic Internet traffic exhibits self-similarity and long-range dependence (LRD) on various time scales. A well studied issue is the estimation of statistical par... S Bregni,L Primerano - ...