Ambiguities in estimates of critical exponents for long-range dependent processes

Ken Duffy, Christopher King and David Malone

Physica A: Statistical Mechanics and its Applications, 2007, vol. 377, issue 1, 43-52

Abstract: In this article, we show that the Hurst parameter and a well-known wavelet estimator fail to distinguish on/off models with substantially different distributions of on-times. We identify the problem as arising when standard power spectrum techniques, which are well-defined for commonly considered processes, are applied to processes with extremely heavy tailed on-times. We provide an elementary mechanism whereby such extremely heavy-tailed on-time processes arise in a simple queuing model.

Keywords: Novel long-range dependence; Alternating renewal processes; Estimation ambiguities (search for similar items in EconPapers)
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:377:y:2007:i:1:p:43-52

DOI: 10.1016/j.physa.2006.11.015

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