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Analysis of dependence among size, rate and duration in internet flows
Correlation analysis extremal dependence analysis
2010/10/19
In this paper we examine rigorously the evidence for dependence among data size, transfer rate and duration in Internet flows. We emphasize two statistical approaches for studying dependence, includi...
Discrete Duration Model Having Autoregressive Random Effects with Application to Japanese Diffusion Index
autoregressive random effects discrete proportional hazards model Markov chain Monte Carlo method sequential probit model state space model
2009/3/10
This article describes a semiparametric estimation method for a discrete duration model with autoregressive random effects using Markov chain Monte Carlo techniques, and analyzes the duration of ten m...
Asymptotics for Duration-Driven Long Range Dependent Processes
Long Memory Heavy Tails Sample Autocovariances Discrete Fourier Transform
2010/4/29
We consider processes with second order long range dependence resulting from heavy
tailed durations. We refer to this phenomenon as duration-driven long range dependence
(DDLRD), as opposed to the m...