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Scaling properties of the empirical structure function of linear fractional stable motion and estimation of its parameters (CROSBI ID 216100)

Prilog u časopisu | izvorni znanstveni rad | međunarodna recenzija

Grahovac, Danijel ; Leonenko, Nikolai ; Taqqu, Murad Scaling properties of the empirical structure function of linear fractional stable motion and estimation of its parameters // Journal of statistical physics, 158 (2015), 1; 105-119. doi: 10.1007/s10955-014-1126-4

Podaci o odgovornosti

Grahovac, Danijel ; Leonenko, Nikolai ; Taqqu, Murad

engleski

Scaling properties of the empirical structure function of linear fractional stable motion and estimation of its parameters

Linear fractional stable motion is an example of a self-similar stationary increments stochastic process exhibiting both long-range dependence and heavy-tails. In this paper we propose methods that are able to estimate simultaneously the self-similarity parameter and the tail parameter. These methods are based on the asymptotic behavior of the so-called ``empirical structure function'', a statistic which resembles a sample moment of the process. We show and use the fact that the rate of growth of the empirical structure function is determined by the Hurst parameter and the tail index. We test the methods on simulated data and apply them to network traffic and solar flares data.

Hurst parameter; tail index; self-similarity; stable index

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Podaci o izdanju

158 (1)

2015.

105-119

objavljeno

0022-4715

10.1007/s10955-014-1126-4

Povezanost rada

Matematika

Poveznice
Indeksiranost