Estimating the Hurst index of a self-similar process via the crossing tree

被引：16

作者：

Jones, OD ^{[1
]}

Shen, Y ^{[1
]}

机构：

[1] Univ Southampton, Sch Math, Southampton SO17 1BJ, Hants, England

来源：

IEEE SIGNAL PROCESSING LETTERS | 2004年 / 11卷 / 04期

关键词：

branching process; Hurst index; long-range dependence; network traffic; self-similarity;

D O I：

10.1109/LSP.2004.824031

中图分类号：

TM [电工技术]; TN [电子技术、通信技术];

学科分类号：

0808 ; 0809 ;

摘要：

By considering the crossings of size 2(n) made by a continuous self-similar process, for n = . . . , -1, 0, 1, . . . , we build a tree of crossings that encodes the sample path. From the crossing tree, we obtain a test for self-similarity and an estimator for the Hurst index H. The accuracy of the estimator is established theoretically and numerically, and a comparison study with three other estimators is given, demonstrating its superior performance. The estimator and self-similarity test are applied to network packet traces, revealing some previously unobserved features.

引用

页码：416 / 419

页数：4

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