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

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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:	Publisher
Use Licence:	This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available here

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