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Efficient parameter estimation for self-similar processes

Rainer Dahlhaus
- 01 Dec 1989 - 
- Vol. 17, Iss: 4, pp 1749-1766
TLDR
Asymptotic normality of the maximum likelihood estimator for the parameters of a long range dependent Gaussian process is proved in this paper, where the limit of the Fisher information matrix is derived for such processes which implies efficiency of the estimator.
Abstract
Asymptotic normality of the maximum likelihood estimator for the parameters of a long range dependent Gaussian process is proved. Furthermore, the limit of the Fisher information matrix is derived for such processes which implies efficiency of the estimator and of an approximate maximum likelihood estimator studied by Fox and Taqqu. The results are derived by using asymptotic properties of Toeplitz matrices and an equicontinuity property of quadratic forms.

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Journal ArticleDOI

On the self-similar nature of Ethernet traffic (extended version)

TL;DR: It is demonstrated that Ethernet LAN traffic is statistically self-similar, that none of the commonly used traffic models is able to capture this fractal-like behavior, and that such behavior has serious implications for the design, control, and analysis of high-speed, cell-based networks.
Journal ArticleDOI

Fractionally integrated generalized autoregressive conditional heteroskedasticity

TL;DR: In this article, the FIGARCH (Fractionally Integrated Generalized AutoRegressive Conditionally Heteroskedastic) process is introduced and the conditional variance of the process implies a slow hyperbolic rate of decay for the influence of lagged squared innovations.
Journal ArticleDOI

Long memory processes and fractional integration in econometrics

TL;DR: A survey and review of the major econometric work on long memory processes, fractional integration, and their applications in economics and finance and some of the definitions of long memory are reviewed.
Journal ArticleDOI

Gaussian Semiparametric Estimation of Long Range Dependence

TL;DR: In this paper, the spectral density of a neighborhood of zero frequency is assumed to be a Gaussian distribution, with a variance which is not dependent on unknown parameters, and the theory covers simultaneously the cases f(A) -x oc, f (A) −+ 0, f(B) -+ 0 and f(C E (0, oc), as A -* 0.
Journal ArticleDOI

Long-range dependence in variable-bit-rate video traffic

TL;DR: It is shown that the long-range dependence property allows us to clearly distinguish between measured data and traffic generated by VBR source models currently used in the literature, and gives rise to novel and challenging problems in traffic engineering for high-speed networks.
References
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Book

Theory of point estimation

TL;DR: In this paper, the authors present an approach for estimating the average risk of a risk-optimal risk maximization algorithm for a set of risk-maximization objectives, including maximalaxity and admissibility.
Journal ArticleDOI

An introduction to long‐memory time series models and fractional differencing

TL;DR: Generation and estimation of these models are considered and applications on generated and real data presented, showing potentially useful long-memory forecasting properties.
Journal ArticleDOI

Large-Sample Properties of Parameter Estimates for Strongly Dependent Stationary Gaussian Time Series

Robert Fox, +1 more
- 01 Jun 1986 - 
TL;DR: In this paper, a strongly dependent Gaussian sequence has a spectral density that satisfies the conditions that the spectral density is consistent and asymptotically normal under appropriate conditions, which are satisfied by fractional Gaussian noise and fractional ARMA.
Journal ArticleDOI

Some long‐run properties of geophysical records

TL;DR: By preparing this book, Chris Barton and Paul La Pointe have earned the gratitude of all geologists and students of fractals as discussed by the authors, and I continue to belong to this second group, and Chris and Paul clearly have put me in a very special debt to them.