Reduced long-range dependence combining Poisson bursts with on-off sources

DOI10.1214/09-BJPS105zbMATH Open1298.60093arXiv1106.0617OpenAlexW3099872813WikidataQ59200186 ScholiaQ59200186MaRDI QIDQ467899FDOQ467899

David A. Rolls

Publication date: 5 November 2014

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Abstract: A workload model using the infinite source Poisson model for bursts is combined with the on--off model for within burst activity. Burst durations and on--off durations are assumed to have heavy-tailed distributions with infinite variance and finite mean. Since the number of bursts is random, one can consider limiting results based on "random centering" of a random sum for the total workload from all sources. Convergence results are shown to depend on the tail indices of both the on--off durations and the lifetimes distributions. Moreover, the results can be separated into cases depending on those tail indices. In one case where all distributions are heavy tailed it is shown that the limiting result is Brownian motion. In another case, convergence to fractional Brownian motion is shown, where the Hurst parameter depends on the heavy-tail indices of the distribution of the on, off and burst durations.

Full work available at URL: https://arxiv.org/abs/1106.0617

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Queueing theory (aspects of probability theory) (60K25)

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