Abstract
This paper describes, in detail, techniques for measuring the Hurst parameter. Measurements are given on artificial data both in a raw form and corrupted in various ways to check the robustness of the tools in question. Measurements are also given on real data, both new data sets and well-studied data sets. All data and tools used are freely available for download along with simple recipes which any researcher can follow to replicate these measurements.
Summary
A hands-on, practical guide to measuring the Hurst parameter — a key statistic for long-range dependence — covering estimation techniques tested on both artificial and real network traffic data, with freely downloadable tools and recipes so other researchers can replicate the measurements.
bibtex
@article{clegg2006hurstguide,
author = {Richard G. Clegg},
title = {A Practical Guide to Measuring the Hurst Parameter},
journal = {International Journal of Simulation: Systems, Science \& Technology},
year = {2006},
volume = {7},
number = {2},
pages = {3--14}
}
Venue
International Journal of Simulation: Systems, Science & Technology, 7(2), pp. 3-14