MURAL - Maynooth University Research Archive Library



    Ambiguities in estimates of critical exponents for long-range dependent processes


    Duffy, Ken R. and King, Christopher and Malone, David (2007) Ambiguities in estimates of critical exponents for long-range dependent processes. Physica A: Statistical Mechanics and its Applications , 377 (1). pp. 43-52. ISSN 0378-4371

    [img] Download (181kB)
    Official URL: http://www.sciencedirect.com/science?_ob=MImg&_ima...


    Share your research

    Twitter Facebook LinkedIn GooglePlus Email more...



    Add this article to your Mendeley library


    Abstract

    In this article we show that the Hurst parameter and a well-known wavelet estimator fail to distinguish on/o models with substantially dierent distributions of on-times. We identify the problem as arising when standard power spectrum techniques, which are well-dened for commonly considered processes, are applied to processes with extremely heavy tailed on-times. We provide an elementary mechanism whereby such extremely heavy-tailed on-time processes arise in a simple queuing model.

    Item Type: Article
    Keywords: Novel long-range dependence; Alternating renewal processes; Estimation ambiguities.
    Academic Unit: Faculty of Science and Engineering > Computer Science
    Faculty of Science and Engineering > Research Institutes > Hamilton Institute
    Item ID: 1501
    Identification Number: 101.1016/j.physa.2006.11.015
    Depositing User: Dr. David Malone
    Date Deposited: 11 Aug 2009 15:54
    Journal or Publication Title: Physica A: Statistical Mechanics and its Applications
    Publisher: Elsevier
    Refereed: Yes
    URI:

    Repository Staff Only(login required)

    View Item Item control page

    Downloads

    Downloads per month over past year