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Duffy, Ken R., 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 |
| Related URLs: | |
| 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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