Naslov
Scaling properties of the empirical structure function of linear fractional stable motion and estimation of its parameters

Autori
Grahovac, Danijel ; Leonenko, Nikolai ; Taqqu, Murad

Izvornik
Journal of statistical physics (0022-4715) 158 (2015), 1; 105-119

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
Hurst parameter; tail index; self-similarity; stable index

Sažetak
Linear fractional stable motion is an example of a self-similar stationary increments stochastic process exhibiting both long-range dependence and heavy-tails. In this paper we propose methods that are able to estimate simultaneously the self-similarity parameter and the tail parameter. These methods are based on the asymptotic behavior of the so-called ``empirical structure function'', a statistic which resembles a sample moment of the process. We show and use the fact that the rate of growth of the empirical structure function is determined by the Hurst parameter and the tail index. We test the methods on simulated data and apply them to network traffic and solar flares data.

Izvorni jezik
Engleski

Znanstvena područja
Matematika

POVEZANOST RADA