VARIANCE OF RESIDUALS

DESCRIPTION

This method plots the logarithm of the median (or average) variance of residuals (after fitting a line to a block of size m) of a process versus the logarithm of the aggregation level. A least-squares line is fitted to the data, and the slope provides an estimate of H.

A more detailed description.

GRAPHICAL OUTPUT

• Fractional Gaussian Noise (H = 0.7), Median
• Fractional Gaussian Noice (H = 0.7), Average
• Ethernet Byte Data, Median
• Ethernet Packet Data, Median

IMPLEMENTATION

There are several options available for using the variance of residuals method.

1. The cut-off points for the estimation can be set. (power1, power2).
2. The data can be aggregated previously to estimation. (aggreg).
3. nvar is the number of different levels to use in estimation.
4. The fitted line whose slope is 2H-2 can be drawn or not. (slopes).
5. Just an estimate can be obtained, or the graphical plot as well. The latter is always recommended when an unknown series is being examined. The former can be used in length simulation studies, etc. (plotflag).

• Sample Runs
• Splus Source Code