Extremal behavior of heavy-tailed on-periods in a superposition of on/off processes

被引:4
|
作者
Stegeman, A [1 ]
机构
[1] Univ Groningen, Dept Math, NL-9700 AV Groningen, Netherlands
关键词
exceedances; extreme value theory; point process; point process of exceedances; Poisson random measure; Poisson process; martingale; stopping time; heavy tails; regular variation; Pareto tails; ON/OFF process; ON/OFF model;
D O I
10.1017/S0001867800011459
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
Empirical studies of data traffic in high-speed networks suggest that network traffic exhibits self-similarity and long-range dependence. Cumulative network traffic has been modeled using the so-called ON/OFF model. It was shown that cumulative network traffic can be approximated by either fractional Brownian motion or stable Levy motion, depending on how many sources are active in the model. In this paper we consider exceedances of a high threshold by the sequence of lengths of ON-periods. If the cumulative network traffic converges to stable Levy motion, the number of exceedances converges to a Poisson limit. The same holds in the fractional Brownian motion case, provided a very high threshold is used. Finally, we show that the number of exceedances obeys the central limit theorem.
引用
收藏
页码:179 / 204
页数:26
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