Long-Range Dependency and Hurst Parameter
The sign tale of hurst parameter: a revisit
... There is also an argument whereby researchers stated that the degree of self-similarity used as parsimonious measurement for analyzing the correlation structure of analyzed data can be misleading because it assumed the ...
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Internet Traffic and the Hurst parameter estimation
... generate Hurst parameter estimates that are much larger than ...the Hurst parameter estimation process ...the Hurst parameter can be ...where Hurst parameter ...
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CiteSeerX — Sensitivity of ABR Congestion Control Algorithms to Hurst Parameter Estimates
... on-line Hurst parameter estimators can be implemented which track non-stationarities which occur in the ...actual Hurst parameter when resource management algorithms are designed specifically ...
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CiteSeerX — A NOVEL APPROACH TO THE ESTIMATION OF THE HURST PARAMETER IN SELF-SIMILAR TRAFFIC
... the Hurst pa- rameter of the increment process in network traffic – a process that is assumed to be ...the Hurst parameter ...and long-range dependent nature of network ...
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CiteSeerX — ANALYSIS OF A HURST PARAMETER ESTIMATOR BASED ON THE MODIFIED ALLAN VARIANCE
... and long-range dependence (LRD) on various time scales [1, 2, ...scaling Hurst parameter H, has the same statistical characteriza- tion than the ...
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Long Range Order Parameter of Oriented L10 FePt Nanoparticles Determined by Electron Diffraction
... causes a broadening of diffracted intensity, which leads to a difficulty in evaluating the accurate integrated intensity from conventional X-ray diffraction profiles. In the case of transmission electron diffraction by using ...
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A Brief History of Long Memory: Hurst, Mandelbrot and the Road to ARFIMA
... that Hurst could consider was the iid Gaussian model of Hazen [16] and Sudler ...the range under this model was beyond Hurst’s mathematical skills, but by considering the asymptotics of a coin tossing game ...
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CiteSeerX — Adaptive Sampling Methods to Determine Network Traffic Statistics including the Hurst Parameter
... speed networks are likely to carry many distinct types of traffic including bulk data transfer, real-time voice and video, and playback video. Recent work (see [2] and [8]) have shown that network traffic may exhibit ...
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A Measure of Early Warning of Exchange Rate Crises Based on the Hurst Coefficient and the Αlpha Stable Parameter
... the Hurst coefficient Brownian motion or geometric Brownian motion is a typical assumption made in modern finance in order to describe the behavior of financial returns or an increasing trend in the long ...
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Levy subordinator model: A two parameter model of default dependency
... They help ensure that the loss process is non-decreasing leading to a promising class of dynamic models. The simplest subordinator is the L´evy subordinator, a maximally skewed stable process with index of stability 1/2. ...
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Levy Subordinator Model: A Two Parameter Model of Default Dependency
... default dependency needs to account for at least two risk factors, firm-specific and ...two parameter model of default dependency based on the L´ evy subordinator is presented accounting for these ...
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A brief history of long memory : Hurst, Mandelbrot and the road to ARFIMA, 1951–1980
... that Hurst could consider was the iid Gaussian model of Hazen [18] and Sudler ...the range under this model was beyond Hurst’s mathematical skills, but by considering the asymptotics of a coin tossing game ...
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Multiple fractional integral with Hurst parameter less than 12
... We construct a multiple Stratonovich-type integral with respect to the fractional Brownian motion with Hurst parameter H o 1 2 . This integral is obtained by a limit of Riemann sums procedure in the Sole´ ...
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Internet Traffic Variability (Long Range Dependency Effects) Dheeraj Reddy CS8803 Fall 2003
... aggregate network traffic that features the Joseph effect (i.e., is self-similar or long- range dependent).. – Terminology attributed to Mandelbrot..[r] ...
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Continuity in the Hurst parameter of the law of the symmetric integral with respect to the fractional Brownian motion
... It is worth pointing out that this kind of results justifies the use of B H ˆ as a model in applied situations where ˆ H is some estimate of the unknown true value of H . We will prove in our main result (Theorem 3.13) ...
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Hurst
... possible, Hurst used Valid Trend Lines—lines drawn across price action at cycle lows (shown in Figure ...IV-9). Hurst also taught a way to manage the trades using specialized trailing stops based on levels ...
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Parameter sharing between dependency parsers for related languages
... that parameter sharing between transition-based neural de- pendency parsers for related languages can lead to better performance, but there is no consensus on what parameters to ...a parameter that can be ...
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Long Range Plan
... To grow and enhance Greater Louisville’s network of all marketing communications professionals; offering member-centric educational programs, industry connectivity and professional gro[r] ...
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LONG-RANGE FORECASTING
... planning. Long- range forecasts include strategic replacements to effectively manage and carefully plan for such large expenses balancing needs with ...
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