METHODS

TIME SERIES WITH LONG-RANGE DEPENDENCE

• FGN (Fractional Gaussian Noise)

• FARIMA (Fractional ARIMA)

• Ethernet Data

METHODS OF ANALYSIS

• Aggregated Variance

• Absolute Moments

• Periodogram

• Variance of Residuals

• R/S

• Whittle's Approximate MLE

• Local Whittle

• Ratio of Variance of Residuals

• Wavelets

NOTES ON S-PLUS

This material is based upon work supported by the National Science Foundation under Grants No NCR-9404931, DMS-9404093 and ANI-9805623 at Boston University. Any opinions, findings and conclusions or recomendations expressed in this material are those of the author(s) and do not necessarily reflect the views of the National Science Foundation (NSF).