Geodesic
About testing of mixed traffic hypothesis
Vestnik Tverskogo gosudarstvennogo universiteta. Seriâ Prikladnaâ matematika, no. 4 (2019), pp. 27-38 Cet article a éte moissonné depuis la source Math-Net.Ru

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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. 
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     title = {About testing of mixed traffic hypothesis},
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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/

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[4] Sidorova O. I., Khokhlov Yu. S., “Estimation of the Hurst exponent in the mixed traffic models”, Herald of Tver State University. Series: Applied Mathematics, 2019, no. 3, 20–39 (in Russian) | DOI