The object of this paper is to study the asymptotic dependence structure of the linear time series models with infinitely divisible innovations by the use of their characteristic functions. Autoregressive moving-average (ARMA) models and fractional autoregressive integrated moving-average (FARIMA) models are analyzed. As examples of infinitely divisible innovations, the class of radially absolu...

abstract nowadays, due to the environmental uncertainty and rapid development of new technologies, economic variables are often predicted by using less data and short-term timeframes. therefore, prediction methods which require fewer amounts of data are needed. auto regressive integrated moving average (arima) model and artificial neural networks (anns) need large amounts of data to achieve acc...

Testing for white noise has been well studied in the literature of econometrics and statistics. For most of the proposed test statistics, such as the well-known Box–Pierce test statistic with fixed lag truncation number, the asymptotic null distributions are obtained under independent and identically distributed assumptions and may not be valid for dependent white noise. Because of recent popul...

Dynamic link resizing is an attractive approach for resource management in virtual private networks (VPNs) serving modern real-time and multimedia traffic. In this paper, we assess the use of linear traffic predictors to dynamically resize the bandwidth of VPN links. We present the results of performance comparisons of three predictors: Gaussian, autoregressive moving average (ARMA) and fractio...

In this work, we present the results of our empirical study on 802:11 wireless LAN network traffic. We collect the packet trace from existing campus wireless LAN infrastructure. We analyze four different data sets: aggregate traffic, upstream traffic, downstream traffic, tcp only packet trace from aggregate traffic. We analyze the time series aspects of underlying traffic (byte count process an...

This paper concerns a fractional modeling and prediction method directly oriented toward an industrial time series with obvious non-Gaussian features. The hidden long-range dependence the multifractal property are extracted to determine order. A autoregressive integrated moving average model (FARIMA) is then proposed considering innovations stable infinite variance. existence convergence of sol...

Great Salt Lake (GSL) is the largest salt lake in the western hemisphere, the fourthlargest terminal lake in the world. The elevation of GSL has critical effect on the people who live nearby and their properties. It is crucial to build an exact model of GSL elevation time series in order to predict the GSL elevation precisely. Although some models, such as ARIMA or FARIMA (fractional auto-regre...

Testing for white noise has been well studied in the literature of econometrics and statistics. For most of the proposed test statistics, such as the well-known Box-Pierce’s test statistic with fixed lag truncation number, the asymptotic null distributions are obtained under independent and identically distributed assumptions and may not be valid for the dependent white noise. Due to recent pop...