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searching for Long-range dependence 11 found (19 total)

Long-tail traffic (4,034 words) [view diff] exact match in snippet view article find links to article

of the level of self-similarity of a time series that exhibits long-range dependence, to which the heavy-tail distribution can be applied. H takes on

Volatility clustering (417 words) [view diff] exact match in snippet view article find links to article

Granger (1996) among others; see also. Some studies point further to long-range dependence in volatility time series, see Ding, Granger and Engle (1993) and

Self-Similarity of Network Data Analysis (2,264 words) [view diff] exact match in snippet view article find links to article

{\displaystyle t\to \infty } is said to have long-range dependence. The spectral density function of long-range dependence follows a power law near the origin

Murad Taqqu (732 words) [view diff] exact match in snippet view article find links to article

series and stochastic processes. His research areas have included long-range dependence, self-similar processes, and heavy tails. Taqqu is a professor emeritus

Self-similar process (2,012 words) [view diff] exact match in snippet view article find links to article

traffic decays more slowly than with Poisson sources. However, long-range dependence implies nothing about its short-term correlations which affect performance

History of network traffic models (3,516 words) [view diff] exact match in snippet view article find links to article

progress in recent decades. Significant advances have been made in long-range dependence, wavelet, and multifractal approaches. At the same time, traffic

Benoit Mandelbrot (4,914 words) [view diff] exact match in snippet view article find links to article

example of "wild randomness", characterized by concentration and long-range dependence. He developed several original approaches for modelling financial

Hans-Rudolf Künsch (260 words) [view diff] no match in snippet view article find links to article

fields, image analysis, space-time models); time series analysis (long range dependence, bootstrap methods for dependent data, general state-space models);

David Heath (probabilist) (585 words) [view diff] no match in snippet view article

David, Sidney Resnick, and Gennady Samorodnitsky. "Heavy tails and long range dependence in on/off processes and associated fluid models." Mathematics of

Autoregressive fractionally integrated moving average (1,253 words) [view diff] case mismatch in snippet view article find links to article

Taqqu, M. S.; Teverovsky, V.; Willinger, W. (1995). "Estimators for Long-Range Dependence: An Empirical Study". Fractals. 3 (4): 785–798. arXiv:0901.0762

Detrended fluctuation analysis (2,343 words) [view diff] exact match in snippet view article find links to article

S2CID 10791480. Taqqu, Murad S.; et al. (1995). "Estimators for long-range dependence: an empirical study". Fractals. 3 (4): 785–798. doi:10.1142/S0218348X95000692