Asymptotic normality of a Hurst parameter estimator based on the modified Allan variance

DOI10.1155/2012/905082MaRDI QIDQ1929686zbMATH OpenOpenAlexWikidataFDO

Authors Alessandra Bianchi, Irene Crimaldi, Massimo Campanino

Publication date 9 January 2013

Published in International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1155/2012/905082

zbMATH Keywords

fractional Brownian motionHurst parametermodified Allan variance

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Review text

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.

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Cites work

• A wavelet Whittle estimator of the memory parameter of a nonstationary Gaussian time series
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• CENTRAL LIMIT THEOREM FOR THE LOG-REGRESSION WAVELET ESTIMATION OF THE MEMORY PARAMETER IN THE GAUSSIAN SEMI-PARAMETRIC CONTEXT
• Correlation theory of stationary and related random functions. Volume II: Supplementary notes and references
• Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths
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• scientific article; zbMATH DE number 3721546 (Why is no real title available?)
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• On the Spectral Density of the Wavelet Coefficients of Long-Memory Time Series with Application to the Log-Regression Estimation of the Memory Parameter
• Wavelet analysis of long-range-dependent traffic

Describes a project that uses

Uses Software

• longmemo
• SimEstFBM

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