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Ambiguities in estimates of critical exponents for long-range dependent processes

Duffy, Ken and 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.
Subjects: Science & Engineering > Hamilton Institute
Science & Engineering > Computer Science
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
URI:

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