On-line estimation of the tail index for heavy-tailed distributions with application to WWW-traffic

Natalia M. Markovich

doi:10.1109/NGI.2005.1431692

On-line estimation of the tail index for heavy-tailed distributions with application to WWW-traffic

Natalia M. Markovich

Research output: Contribution to conference › Paper › peer-review

3 Scopus citations

Abstract

An important problem connected with the heavy-tailed probability density function (PDF) and high quantile estimation is the estimation of the tail index. The recursive estimator of the tail index is investigated and its accuracy is obtained. The parameter of this estimator is calculated by bootstrap method.

Original language	English
Pages	388-395
Number of pages	8
DOIs	https://doi.org/10.1109/NGI.2005.1431692
State	Published - 1 Dec 2005
Externally published	Yes
Event	Next Generation Internet Networks, NGI 2005 - Roma, Italy Duration: 18 Apr 2005 → 20 Apr 2005

Conference

Conference	Next Generation Internet Networks, NGI 2005
Country/Territory	Italy
City	Roma
Period	18/04/05 → 20/04/05

Keywords

Bootstrap
Heavy-tailed distribution
Online estimator
Tail index

ASJC Scopus subject areas

General Engineering

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10.1109/NGI.2005.1431692

Cite this

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title = "On-line estimation of the tail index for heavy-tailed distributions with application to WWW-traffic",

abstract = "An important problem connected with the heavy-tailed probability density function (PDF) and high quantile estimation is the estimation of the tail index. The recursive estimator of the tail index is investigated and its accuracy is obtained. The parameter of this estimator is calculated by bootstrap method.",

keywords = "Bootstrap, Heavy-tailed distribution, Online estimator, Tail index",

author = "Markovich, \{Natalia M.\}",

year = "2005",

month = dec,

day = "1",

doi = "10.1109/NGI.2005.1431692",

language = "English",

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T1 - On-line estimation of the tail index for heavy-tailed distributions with application to WWW-traffic

AU - Markovich, Natalia M.

PY - 2005/12/1

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N2 - An important problem connected with the heavy-tailed probability density function (PDF) and high quantile estimation is the estimation of the tail index. The recursive estimator of the tail index is investigated and its accuracy is obtained. The parameter of this estimator is calculated by bootstrap method.

AB - An important problem connected with the heavy-tailed probability density function (PDF) and high quantile estimation is the estimation of the tail index. The recursive estimator of the tail index is investigated and its accuracy is obtained. The parameter of this estimator is calculated by bootstrap method.

KW - Bootstrap

KW - Heavy-tailed distribution

KW - Online estimator

KW - Tail index

UR - https://www.scopus.com/pages/publications/33744498385

U2 - 10.1109/NGI.2005.1431692

DO - 10.1109/NGI.2005.1431692

M3 - Paper

AN - SCOPUS:33744498385

SP - 388

EP - 395

T2 - Next Generation Internet Networks, NGI 2005

Y2 - 18 April 2005 through 20 April 2005

ER -

On-line estimation of the tail index for heavy-tailed distributions with application to WWW-traffic

Abstract

Conference

Keywords

ASJC Scopus subject areas

Access to Document

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