Bianchi, Alessandra and Bregni, Stefano and Crimaldi, Irene and Ferrari, Marco Analysis of a Hurst parameter estimator based on the modified Allan variance. In: Proceedings of IEEE GLOBECOM 2012. IEEE. (In Press) (2012)
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Abstract
In order to estimate the Hurst parameter of Internet traffic data, it has been recently proposed a log-regression estimator based on the so-called modified Allan variance (MAVAR). Simulations have shown that this estimator achieves higher accuracy and better confidence when compared with an other method of common use based on wavelet analysis. Here we link it to the wavelets setting and stress why a different analysis for the two approaches is required. We then focus on the asymptotic analysis of the MAVAR log-regression estimator and provide new formulas for the related confidence intervals. By numerical evaluation, we analyze these formulas and make a comparison between three suitable choices on the regression weights, also optimizing over different choices on the data progression.
| Item Type: | Book Section |
|---|---|
| Additional Information: | “IEEE Global Communications Conference 2012” (3-7 December 2012, Anaheim, California, USA) |
| Uncontrolled Keywords: | Hurst parameter, long-range dependence, self-similarity, modified Allan variance, parameter estimation, wavelets, fractional Brownian motion |
| Subjects: | H Social Sciences > HA Statistics Q Science > QA Mathematics |
| Research Area: | Economics and Institutional Change |
| Depositing User: | Irene Crimaldi |
| Date Deposited: | 07 Jan 2013 12:05 |
| Last Modified: | 07 Jan 2013 12:05 |
| URI: | http://eprints.imtlucca.it/id/eprint/1458 |
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Analysis of a Hurst parameter estimator based on the modified Allan variance. (deposited 20 Feb 2012 09:03)
- Analysis of a Hurst parameter estimator based on the modified Allan variance. (deposited 07 Jan 2013 12:05) [Currently Displayed]
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