Testing fractal connectivity in multivariate long memory processes

Herwig Wendt 1 Antoine Scherrer 1 Patrice Abry 1 Sophie Achard 2
1 Phys-ENS - Laboratoire de Physique de l'ENS Lyon
2 GIPSA-SIGMAPHY - SIGMAPHY
GIPSA-DIS - Département Images et Signal
Abstract : Within the framework of long memory multivariate processes, fractal connectivity is a particular model, in which the low frequencies (coarse scales) of the interspectrum of each pair of process components are determined by the autospectra of the components. The underlying intuition is that long memories in each components are likely to arise from a same and single mechanism. The present contribution aims at defining and characterizing a statistical procedure for testing actual fractal connectivity amongst data. The test is based on Fisher's Z transform and Pearson correlation coefficient, and anchored in a wavelet framework. Its performance are analyzed theoretically and validated on synthetic data. Its usefulness is illustrated on the analysis of Internet traffic Packet and Byte count time series.
Keywords : Fractal connectivity Internet traffic Statistical test Wavelet transform Long memory
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Conference papers
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Submitted on : Tuesday, February 17, 2009 - 2:54:34 PM
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  • HAL Id : ensl-00362174, version 1

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GIPSA-SIGMAPHY | GIPSA-DIS | GIPSA | ENS-LYON | UGA | UGA-TEST-TER | UNIV-LYON1

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Herwig Wendt, Antoine Scherrer, Patrice Abry, Sophie Achard. Testing fractal connectivity in multivariate long memory processes. IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2009, Apr 2009, Taipei, Taiwan. ⟨ensl-00362174⟩

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