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Título del libro: 2021 Ieee International Conference On Automation/24th Congress Of The Chilean Association Of Automatic Control, Ica-Acca 2021
Título del capítulo: Preliminaries on the accurate estimation of the hurst exponent using time series

Autores UNAM:
ROMAN VICTORIANO OSORIO COMPARAN;
Autores externos:
Idioma:
Año de publicación:
2021
Palabras clave:

Automation; Gaussian noise (electronic); Mean square error; Process control; Time series; Accurate estimation; Designing an experiment; Fractional Gaussian noise; High speed computer networks; High speed network traffic; Mean squared error; Standard deviation; Whittle estimator; HIgh speed networks

Resumen:

This article explores the required amount of time series points from a high-speed computer network to accurately estimate the Hurst exponent. The methodology consists in designing an experiment using estimators that are applied to time series addresses resulting from the capture of high-speed network traffic, followed by addressing the minimum amount of point required to obtain in accurate estimates of the Hurst exponent. The methodology addresses the exhaustive analysis of the Hurst exponent considering bias behaviour, standard deviation, and Mean Squared Error using fractional Gaussian noise signals with stationary increases. Our results show that the Whittle estimator successfully estimates the Hurst exponent in series with few points. Based on the results obtained, a minimum length for the time series is empirically proposed. Finally, to validate the results, the methodology is applied to real traffic captures in a high-speed computer network. © 2021 IEEE.

Entidades citadas de la UNAM:
Fuente:



ISBN:
9781665401272
Editorial:
Institute of Electrical and Electronics Engineers Inc.

Tipo de producto:
Conference Paper



DOI:
10.1109/ICAACCA51523.2021.9465274