Asymptotic normality of a Hurst parameter estimator based on the modified Allan variance (Q1929686): Difference between revisions
From MaRDI portal
Changed an Item |
Changed an Item |
||
Property / describes a project that uses | |||
Property / describes a project that uses: longmemo / rank | |||
Normal rank |
Revision as of 02:10, 1 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Asymptotic normality of a Hurst parameter estimator based on the modified Allan variance |
scientific article |
Statements
Asymptotic normality of a Hurst parameter estimator based on the modified Allan variance (English)
0 references
9 January 2013
0 references
Summary: In order to estimate the memory 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 other methods. In this paper we present a rigorous study of the MAVAR log-regression estimator. In particular, under the assumption that the signal process is a fractional Brownian motion, we prove that it is consistent and asymptotically normally distributed. Finally, we discuss its connection with the wavelets estimators.
0 references
Hurst parameter
0 references
modified Allan variance
0 references
fractional Brownian motion
0 references