eprintid: 1458
rev_number: 6
eprint_status: archive
userid: 36
dir: disk0/00/00/14/58
datestamp: 2013-01-07 12:05:30
lastmod: 2013-01-07 12:05:30
status_changed: 2013-01-07 12:05:30
type: book_section
succeeds: 1132
metadata_visibility: no_search
creators_name: Bianchi, Alessandra
creators_name: Bregni, Stefano
creators_name: Crimaldi, Irene
creators_name: Ferrari, Marco
creators_id: 
creators_id: 
creators_id: irene.crimaldi@imtlucca.it
creators_id: 
title: Analysis of a Hurst parameter estimator based on the modified Allan variance
ispublished: inpress
subjects: HA
subjects: QA
divisions: EIC
full_text_status: none
monograph_type: technical_report
keywords: Hurst parameter, long-range dependence, self-similarity, modified Allan variance, parameter estimation, wavelets, fractional Brownian motion
note: “IEEE Global Communications Conference 2012” (3-7 December 2012, Anaheim, California, USA)
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.
date: 2012
date_type: submitted
publisher: IEEE
institution: IMT Institute for Advanced Studies Lucca
refereed: TRUE
book_title: Proceedings of IEEE GLOBECOM 2012
official_url: http://www.ieee-globecom.org/2012/
citation:   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)