Network Modeling for the Internet
Structural
Breaks
| Leader | Vladas Pipiras (University of North Carolina, Chapel Hill), pipiras@email.unc.edu |
| Meeting | Tuesday 3:00 - 4:00 pm,
room 201 |
| Members | Robert Buche
(North Carolina State University), rtbuche@unity.ncsu.edu Fred Godtliebsen (University of Tromso, Norway), godtlieb@email.unc.edu Cheolwoo Park (SAMSI), cwpark@email.unc.edu Stilian Stoev (Boston University), sstoev@bu.edu Murad Taqqu (Boston University), murad@bu.edu |
| Outline Objectives | An increasing number of
publications in the time series literature suggest
that evidence of long-range dependence is an artifact of structural
breaks. Structural breaks (also: level shifts, regime switching,
structural instability) is one type of non-stationarity of a time
series.
The explanation for long-range dependence through structural breaks is
particularly prevalent in Econometrics where evidence for long-range
dependence was found in the time series of volatility of stock prices,
inflation rates and other economic indicators. The goal of this working group is to explore the idea of structural breaks in the context of Internet traffic modeling where evidence of long-range dependence is also ubiquitous. It appears that these ideas have not been examined yet. The work of the group will focus around the following themes: 1. definition and types of structural breaks, models (some mixture, Markov-switching and other models), 2. structural breaks versus long-range dependence (possibly versus other phenomena), 3. statistical tests to discriminate between structural breaks and long-range dependence, 4. applications to Internet traces. |
| References | http://www.unc.edu/~pipiras/ |
© 2002, Statistical and Applied Mathematical Sciences Institute. All rights reserved.