?url_ver=Z39.88-2004&rft_id=3214&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rft.relation=http%3A%2F%2Feprints.imtlucca.it%2F1132%2F&rft.title=Analysis+of+a+Hurst+parameter+estimator+based+on+the+modified+Allan+variance&rft.creator=Bianchi%2C+Alessandra&rft.creator=Bregni%2C+Stefano&rft.creator=Crimaldi%2C+Irene&rft.creator=Ferrari%2C+Marco&rft.subject=HA+Statistics&rft.subject=QA+Mathematics&rft.description=In+order+to+estimate+the+Hurst+parameter+of+Internet+traffic+data%2C+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+other+methods+of+common+use.+Here+we+link+it+to+the+wavelets+setting+and+provide+an+asymptotic+analysis+in+the+case+the+signal+process+is+a+fractional+Brownian+motion.+In+particular+we+show+that+the+MAVAR+log-regression+estimator+is+consistent+and+asymptotically+normal%2C+providing+the+related+confidence+intervals+for+a+suitable+choice+on+the+regression+weights.+Finally%2C+we+show+some+numerical+examples.&rft.date=2012&rft.type=Working+Paper&rft.type=NonPeerReviewed&rft.identifier=++Bianchi%2C+Alessandra+and+Bregni%2C+Stefano+and+Crimaldi%2C+Irene+and+Ferrari%2C+Marco++Analysis+of+a+Hurst+parameter+estimator+based+on+the+modified+Allan+variance.++Technical+Report+++++++(Submitted)+++&rft.relation=3214