%0 Journal Article
%@ 2090-3332
%A Bianchi, Alessandra
%A Campanino, Massimo
%A Crimaldi, Irene
%D 2012
%F eprints:1434
%I Hindawi Publishing Corporation
%J International Journal of Stochastic Analysis
%K modified Allan variance, log-regression estimator, fractional Brownian motion, long-range dependence, self-similarity
%P 1-20
%T Asymptotic Normality of a Hurst Parameter Estimator Based on the Modified Allan Variance
%U http://eprints.imtlucca.it/1434/
%V 2012
%X In order to estimate the memory 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 other methods. In this paper we present a rigorous study of the MAVAR log-regression estimator. In particular, under the assumption that the signal process is a fractional Brownian motion, we prove that it is consistent and asymptotically normally distributed. Finally, we discuss its connection with the wavelets estimators.