Temat: long-range dependence

Skocz do pozycji: 1.

Tytuł:: VoIP Anomaly Detection - selected methods of statistical analysis
Autorzy:: Dymora, P.
Mazurek, M.
Jaskółka, S.
Tematy:: Hurst factor
anomaly detection
self-similarity
long-range dependence; Pokaż więcej
Wydawca:: Uniwersytet Marii Curie-Skłodowskiej. Wydawnictwo Uniwersytetu Marii Curie-Skłodowskiej
Powiązania:: https://bibliotekanauki.pl/articles/106150.pdf Link otwiera się w nowym oknie
Opis:: Self-similarity analysis and anomaly detection in networks are interesting fields of research and scientific work of scientists around the world. Simulation studies have demonstrated that the Hurst parameter estimation can be used to detect traffic anomaly. The actual network traffic is self-similar or long-range dependent. The dramatic expansion of applications on modern networks gives rise to a fundamental challenge to network security. The Hurst values are compared with confidence intervals of normal values to detect anomaly in VoIP.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 2.

Tytuł:: Is Bitcoin an emerging market? A market efficiency perspective
Autorzy:: Skwarek, Mateusz
Tematy:: long-range dependence
bitcoin
market efficiency
emerging stock markets
Hurst exponent; Pokaż więcej
Wydawca:: Uniwersytet Warszawski. Wydział Nauk Ekonomicznych
Powiązania:: https://bibliotekanauki.pl/articles/22443141.pdf Link otwiera się w nowym oknie
Opis:: Despite recent studies focused on comparing the dynamics of market efficiency between Bitcoin and other traditional assets, there is a lack of knowledge about whether Bitcoin and emerging markets efficiency behave similarly. This paper aims to compare the market efficiency dynamics between Bitcoin and the emerging stock markets. In particular, this study indicates whether the dynamics of Bitcoin market efficiency mimic those of emerging stock markets. Thus, the paper’s contribution emerges from the combination of Bitcoin and emerging markets in the field of dynamics of market efficiency. The dynamics of market efficiency are measured using the Hurst exponent in the rolling window. The study uses daily data for the MSCI Emerging Markets Index and the Bitcoin market over the period 2011–2022. Our results show that there is at most a moderate correlation between the dynamics of Bitcoin and emerging stock markets’ efficiency over the entire study period. The strongest correlations occur mainly in periods of high economic policy uncertainty in the largest Bitcoin mining countries. Therefore, the association between Bitcoin market efficiency and emerging stock markets’ efficiency may strengthen with an increase in economic policy uncertainty. These findings may be useful for investors and portfolio managers in constructing better investment strategies.
Dostawca treści:: Biblioteka Nauki

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na półce

Skocz do pozycji: 3.

Tytuł:: The poisson cluster process runs as a model for the internet traffic
Autorzy:: Martyna, Jerzy
Wydawca:: Springer
Dostawca treści:: Repozytorium Uniwersytetu Jagiellońskiego

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Skocz do pozycji: 4.

Tytuł:: Testing for Long-Range Dependence in Financial Time Series
Autorzy:: Mangat, Manveer Kaur
Reschenhofer, Erhard
Tematy:: long-range dependence
fractionally integrated process
frequencydomain test
Kolmogorov-Smirnov goodness-of-fit-test; Pokaż więcej
Wydawca:: Polska Akademia Nauk. Czytelnia Czasopism PAN
Powiązania:: https://bibliotekanauki.pl/articles/2076133.pdf Link otwiera się w nowym oknie
Opis:: Various trading strategies have been proposed that use estimates of the Hurst coefficient, which is an indicator of long-range dependence, for the calculation of buy and sell signals. This paper introduces frequency-domain tests for longrange dependence which do, in contrast to conventional procedures, not assume that the number of used periodogram ordinates grow with the length of the time series. These tests are applied to series of gold price returns and stock index returns in a rolling analysis. The results suggest that there is no long-range dependence, indicating that trading strategies based on fractal dynamics have no sound statistical basis.
Dostawca treści:: Biblioteka Nauki

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na półce

Skocz do pozycji: 5.

Tytuł:: Wavelets for time series analysis - a survey and new results
Autorzy:: Mielniczuk, J.
Wojdyłło, P.
Tematy:: long-range dependence
decorrelation property
spectral density
time series
wavelets
fractional Gaussian noise (FGN)
fractional autoregressive integrated moving average (FARIMA)
Hurst exponent
falka; Pokaż więcej
Wydawca:: Polska Akademia Nauk. Instytut Badań Systemowych PAN
Powiązania:: https://bibliotekanauki.pl/articles/970989.pdf Link otwiera się w nowym oknie
Opis:: In the paper we review stochastic properties of wavelet coefficients for time series indexed by continuous or discrete time. The main emphasis is on decorrelation property and its implications for data analysis. Some new properties are developed as the rates of correlation decay for the wavelet coefficients in the case of long-range dependent processes such as the fractional Gaussian noise and the fractional autoregressive integrated moving average processes. It is proved that for such processes the within-scale covariance of the wavelet coefficients at lag k is O(k^2(H-N)-2), where H is the Hurst exponent and N is the number of vanishing moments of the wavelet employed. Some applications of decorrelation property are briefly discussed.
Dostawca treści:: Biblioteka Nauki

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