Theory of Probability and Mathematical Statistics

Mixed FBM-traffic hypothesis

O. I. Sidorova^a, E. M. Burdina^b, E. V. Sergeyeva^b, A. Yu. Tikhomirova<sup>a

a</sup> Tver State University, Tver
^b MTS, Tver

Abstract: In this article we consider some test for presence in traffic two different independent FBM-components with different Hurst parameters $H$. Test statistics are based on the sum of frequency and scale logarithms of wavelet coefficients absolute values and asymptotically converge to a normal distribution under null (monofractal traffic) and alternative (multifractal process) hypotheses.

Keywords: long-range dependence, fractal brownian noise, Hurst parameter.

UDC: 519.216

Received: 31.08.2020
Revised: 05.10.2020

DOI: 10.26456/vtpmk597

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