Geodesic
About testing of mixed traffic hypothesis
Vestnik Tverskogo gosudarstvennogo universiteta. Seriâ Prikladnaâ matematika, no. 4 (2019), pp. 27-38

Voir la notice de l'article provenant de la source Math-Net.Ru

This article proposes some test for presence in traffic two different independent components with a single Hurst parameter $H$. We use $\alpha$-stable Levy motion and fractal Brownian motion as models for $\alpha$- and $\beta$-components respectively. The test statistic is based on frequency-scale sum of logarithms of the wavelet-coefficients absolute values and asymptotically converge to a normal distribution under null ($\beta$-traffic) and alternative ($\alpha +\beta$-traffic) hypothesis.
Keywords: long-range dependence, heavy-tailed distributions, fractal brownian noise, Hurst parameter
Mots-clés : $\alpha$-stable Lévy motion, wavelet decomposition. 
@article{VTPMK_2019_4_a1,
     author = {O. I. Sidorova and L. V. Syslov and Yu. S. Khokhlov},
     title = {About testing of mixed traffic hypothesis},
     journal = {Vestnik Tverskogo gosudarstvennogo universiteta. Seri\^a Prikladna\^a matematika},
     pages = {27--38},
     publisher = {mathdoc},
     number = {4},
     year = {2019},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/VTPMK_2019_4_a1/}
}
TY  - JOUR
AU  - O. I. Sidorova
AU  - L. V. Syslov
AU  - Yu. S. Khokhlov
TI  - About testing of mixed traffic hypothesis
JO  - Vestnik Tverskogo gosudarstvennogo universiteta. Seriâ Prikladnaâ matematika
PY  - 2019
SP  - 27
EP  - 38
IS  - 4
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/VTPMK_2019_4_a1/
LA  - ru
ID  - VTPMK_2019_4_a1
ER  - 
%0 Journal Article
%A O. I. Sidorova
%A L. V. Syslov
%A Yu. S. Khokhlov
%T About testing of mixed traffic hypothesis
%J Vestnik Tverskogo gosudarstvennogo universiteta. Seriâ Prikladnaâ matematika
%D 2019
%P 27-38
%N 4
%I mathdoc
%U http://geodesic.mathdoc.fr/item/VTPMK_2019_4_a1/
%G ru
%F VTPMK_2019_4_a1
O. I. Sidorova; L. V. Syslov; Yu. S. Khokhlov. About testing of mixed traffic hypothesis. Vestnik Tverskogo gosudarstvennogo universiteta. Seriâ Prikladnaâ matematika, no. 4 (2019), pp. 27-38. http://geodesic.mathdoc.fr/item/VTPMK_2019_4_a1/