Title :
On-line estimation of the tail index for heavy-tailed distributions with application to WWW-traffic
Author :
Markovich, Natalia M.
Author_Institution :
Inst. of Control Sci., Russian Acad. of Sci., Moscow, Russia
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 :
Internet; Web sites; probability; telecommunication traffic; WWW-traffic; bootstrap method; heavy-tailed PDF; on-line estimation; parameter estimation; probability density function; quantile estimation; tail index estimation; Parameter estimation; Probability density function; Probability distribution; Random variables; Recursive estimation; Shape measurement; Size measurement; Statistical distributions; Tail; World Wide Web;
Conference_Titel :
Next Generation Internet Networks, 2005
Print_ISBN :
0-7803-8900-X
DOI :
10.1109/NGI.2005.1431692
