Statistical analysis of peer-to-peer live streaming traffic

Size: px
Start display at page:

Download "Statistical analysis of peer-to-peer live streaming traffic"

Transcription

1 Statistical analysis of peer-to-peer live streaming traffic Levente Bodrog 1 Ákos Horváth 1 Miklós Telek 1 1 Technical University of Budapest Probability and Statistics with Applications, 2009

2 Outline

3 Nowadays observations on high speed network traffic heavy tailed distributions, long-range dependency, multi-fractal behaviour. Emerging peer-to-peer (P2P) traffic includes file sharing, military, telecommunication, bioinformatics and other research, live streaming. A new kind of traffic, the traffic, is analysed.

4 bash 3.5$ bash 3.5$ bash 3.5$ bash 3.5$ bash 3.5$ Technical introduction P2P is for TV programme broadcasting. One source, without high resources spreads the stream via packets over the estabilished overlay topology. Advantages: source simple, no special infrastructure needed, robust.

5 Outline

6 A distribution is heavy tailed if its complementary cumulative distribution function is 1 F Y (x) = x α L (x), where lim x L (ax) /L (x) = 1 for a > 0 (e.g. Pareto family with cumulative distribution function 1 (x m /x) k, x m > 0, k > 0). α is the tail index of the distribution.

7 Tests for heavy tailed distributions These tests estimate the tail index of a distribution based on its samples. Hill estimator α n,k = ( 1 k k 1 ( ) ) 1 log X(n i) log X (n k), i=0 where X (1)... X (n) denotes the order statistics of the dataset. Dynamic quantile-quantile regression plot The slope of the linear regression of {( log ( 1 j n + 1 ), log X (j) ), n k + 1 j n } gives α n,k.

8 30 25 PPLIVE - qq-plot and Hill Dynamic qq Hill α n,k k Figure: The Hill and the dynamic qq-plot of a P2P live streaming trace

9 Outline

10 Self-similarity First we define self-similarity A stochastic process X = {X i, i = 0, 1, 2,...} with aggregated process X (m) = { X (m) k =..., X km X (k+1)m 1,..., k m } is exactly self-similar if X d = m 1 H X (m), i.e., if X and X (m) are identical within a scale factor in a finite dimensional distribution sense. Here H is the Hurst, or the self-similarity, parameter.

11 Definition of LRD A process is long-range dependent (LRD) if its autocorrelation coefficients (ϱ k ) are not summable, i.e., lim N k=0 N ϱ k =. It is observed through the self-similarity. Self-similarity is determined based on the Hurst parameter, if 0.5 H 1 then the trace is self-similar and it is also long-range dependent.

12 Variance time plot For self-similar time series {X i } (with m-aggregated process X (m) ) Var X (m) m β, as m, 0 < β < 1. The slope of the linear regression of the plot log Var X (m) versus log m gives β and H = 1 (β/2)

13 Variance log10(var(x(m))) PPLIVE Variance time plot Linear regression Aggregation level (log10(m)) Figure: Variance time plot of a trace

14 R/S plot H is the slope of the linear regression of ( R/S(n) = 1 max (Y (k) kn ) S(n) Y (n) 0 k n ( min Y (k) k ) ) 0 k n n Y (n), the scaled difference between the fastest and the slowest arrival period considering n arrivals.

15 log10(r/s(n)) R/S plot Linear regression PPLIVE log10(n) Figure: R/S plot of a trace

16 Outline

17 Definition Considering E ( X (m) q), the absolute moments of the m-aggregated arrival process: self-similarity: one scaling parameter (the Hurst parameter) for all moments, multi-fractal behaviour: different scaling for the qth absolute moment, results in a spectrum depending on q.

18 Test Legendre spectrum Considering the rate process of a continuous time process: its local scaling exponent is α(t) at time t, the number of α(t)s falling ε within α is the multi-fractal spectrum, f L (α), the scaling of the absolute moments is T (q), the partition function, the Legendre transform of the partition function is also the multi-fractal spectrum.

19 f(α) Multi-fractal spectrum α Figure: The multi-fractal spectrum of a trace

20 Outline

21 r (k) = ( (Xi E E(X) )( X i+k E(X) )) σ X σ X autocorrelation PPLIVE (only video packets) k 1 s 0.1 s 10 s

22 The analysed traffic traces: are heavy tailed, are long-range dependent considering several time scales, and have rich multi-fractal spectrum. Consequences: the heavy tailed distributions degrades the quality of service parameters in the network, both the LRD and multi-fractal behaviour should taken into consideration when one considers P2P live streaming traffic.

Fractal Analysis of Intraflow Unidirectional Delay over W-LAN and W-WAN WAN Environments

Fractal Analysis of Intraflow Unidirectional Delay over W-LAN and W-WAN WAN Environments Fractal Analysis of Intraflow Unidirectional Delay over W-LAN and W-WAN WAN Environments Dimitrios Pezaros with Manolis Sifalakis and Laurent Mathy Computing Department Lancaster University [dp@comp.lancs.ac.uk]

More information

Network Traffic Characteristic

Network Traffic Characteristic Network Traffic Characteristic Hojun Lee hlee02@purros.poly.edu 5/24/2002 EL938-Project 1 Outline Motivation What is self-similarity? Behavior of Ethernet traffic Behavior of WAN traffic Behavior of WWW

More information

Some Background Information on Long-Range Dependence and Self-Similarity On the Variability of Internet Traffic Outline Introduction and Motivation Ch

Some Background Information on Long-Range Dependence and Self-Similarity On the Variability of Internet Traffic Outline Introduction and Motivation Ch On the Variability of Internet Traffic Georgios Y Lazarou Information and Telecommunication Technology Center Department of Electrical Engineering and Computer Science The University of Kansas, Lawrence

More information

Teletrac modeling and estimation

Teletrac modeling and estimation Teletrac modeling and estimation File 2 José Roberto Amazonas jra@lcs.poli.usp.br Telecommunications and Control Engineering Dept. - PTC Escola Politécnica University of São Paulo - USP São Paulo 11/2008

More information

ON THE CONVERGENCE OF FARIMA SEQUENCE TO FRACTIONAL GAUSSIAN NOISE. Joo-Mok Kim* 1. Introduction

ON THE CONVERGENCE OF FARIMA SEQUENCE TO FRACTIONAL GAUSSIAN NOISE. Joo-Mok Kim* 1. Introduction JOURNAL OF THE CHUNGCHEONG MATHEMATICAL SOCIETY Volume 26, No. 2, May 2013 ON THE CONVERGENCE OF FARIMA SEQUENCE TO FRACTIONAL GAUSSIAN NOISE Joo-Mok Kim* Abstract. We consider fractional Gussian noise

More information

A NOVEL APPROACH TO THE ESTIMATION OF THE HURST PARAMETER IN SELF-SIMILAR TRAFFIC

A NOVEL APPROACH TO THE ESTIMATION OF THE HURST PARAMETER IN SELF-SIMILAR TRAFFIC Proceedings of IEEE Conference on Local Computer Networks, Tampa, Florida, November 2002 A NOVEL APPROACH TO THE ESTIMATION OF THE HURST PARAMETER IN SELF-SIMILAR TRAFFIC Houssain Kettani and John A. Gubner

More information

Exploring regularities and self-similarity in Internet traffic

Exploring regularities and self-similarity in Internet traffic Exploring regularities and self-similarity in Internet traffic FRANCESCO PALMIERI and UGO FIORE Centro Servizi Didattico Scientifico Università degli studi di Napoli Federico II Complesso Universitario

More information

Design of IP networks with Quality of Service

Design of IP networks with Quality of Service Course of Multimedia Internet (Sub-course Reti Internet Multimediali ), AA 2010-2011 Prof. Pag. 1 Design of IP networks with Quality of Service 1 Course of Multimedia Internet (Sub-course Reti Internet

More information

Capturing Network Traffic Dynamics Small Scales. Rolf Riedi

Capturing Network Traffic Dynamics Small Scales. Rolf Riedi Capturing Network Traffic Dynamics Small Scales Rolf Riedi Dept of Statistics Stochastic Systems and Modelling in Networking and Finance Part II Dependable Adaptive Systems and Mathematical Modeling Kaiserslautern,

More information

MODELLING OF SELF-SIMILAR TELETRAFFIC FOR SIMULATION. A thesis submitted in partial fulfilment. of the requirements for the degree of

MODELLING OF SELF-SIMILAR TELETRAFFIC FOR SIMULATION. A thesis submitted in partial fulfilment. of the requirements for the degree of MODELLING OF SELF-SIMILAR TELETRAFFIC FOR SIMULATION A thesis submitted in partial fulfilment of the requirements for the degree of Doctor of Philosophy In Computer Science in the University of Canterbury

More information

Packet Size

Packet Size Long Range Dependence in vbns ATM Cell Level Trac Ronn Ritke y and Mario Gerla UCLA { Computer Science Department, 405 Hilgard Ave., Los Angeles, CA 90024 ritke@cs.ucla.edu, gerla@cs.ucla.edu Abstract

More information

Observed structure of addresses in IP traffic

Observed structure of addresses in IP traffic Observed structure of addresses in IP traffic Eddie Kohler, Jinyang Li, Vern Paxson, Scott Shenker ICSI Center for Internet Research Thanks to David Donoho and Dick Karp Problem How can we model the set

More information

MAS113 Introduction to Probability and Statistics

MAS113 Introduction to Probability and Statistics MAS113 Introduction to Probability and Statistics School of Mathematics and Statistics, University of Sheffield 2018 19 Identically distributed Suppose we have n random variables X 1, X 2,..., X n. Identically

More information

CS224W: Analysis of Networks Jure Leskovec, Stanford University

CS224W: Analysis of Networks Jure Leskovec, Stanford University CS224W: Analysis of Networks Jure Leskovec, Stanford University http://cs224w.stanford.edu 10/30/17 Jure Leskovec, Stanford CS224W: Social and Information Network Analysis, http://cs224w.stanford.edu 2

More information

Accurate and Fast Replication on the Generation of Fractal Network Traffic Using Alternative Probability Models

Accurate and Fast Replication on the Generation of Fractal Network Traffic Using Alternative Probability Models Accurate and Fast Replication on the Generation of Fractal Network Traffic Using Alternative Probability Models Stenio Fernandes, Carlos Kamienski & Djamel Sadok Computer Science Center, Federal University

More information

Network Traffic Modeling using a Multifractal Wavelet Model

Network Traffic Modeling using a Multifractal Wavelet Model Proceedings European Congress of Mathematics, Barcelona 2 Network Traffic Modeling using a Multifractal Wavelet Model Rudolf H. Riedi, Vinay J. Ribeiro, Matthew S. Crouse, and Richard G. Baraniuk Abstract.

More information

Stochastic Network Calculus

Stochastic Network Calculus Stochastic Network Calculus Assessing the Performance of the Future Internet Markus Fidler joint work with Amr Rizk Institute of Communications Technology Leibniz Universität Hannover April 22, 2010 c

More information

Multiplicative Multifractal Modeling of. Long-Range-Dependent (LRD) Trac in. Computer Communications Networks. Jianbo Gao and Izhak Rubin

Multiplicative Multifractal Modeling of. Long-Range-Dependent (LRD) Trac in. Computer Communications Networks. Jianbo Gao and Izhak Rubin Multiplicative Multifractal Modeling of Long-Range-Dependent (LRD) Trac in Computer Communications Networks Jianbo Gao and Izhak Rubin Electrical Engineering Department, University of California, Los Angeles

More information

Delay Bounds for Networks with Heavy-Tailed and Self-Similar Traffic

Delay Bounds for Networks with Heavy-Tailed and Self-Similar Traffic Delay Bounds for Networks with Heavy-Tailed and Self-Similar Traffic Jörg Liebeherr, Almut Burchard, Florin Ciucu Abstract 1 arxiv:0911.3856v1 [cs.ni] 19 Nov 2009 We provide upper bounds on the end-to-end

More information

SEQUENTIAL ESTIMATION OF THE STEADY-STATE VARIANCE IN DISCRETE EVENT SIMULATION

SEQUENTIAL ESTIMATION OF THE STEADY-STATE VARIANCE IN DISCRETE EVENT SIMULATION SEQUENTIAL ESTIMATION OF THE STEADY-STATE VARIANCE IN DISCRETE EVENT SIMULATION Adriaan Schmidt Institute for Theoretical Information Technology RWTH Aachen University D-5056 Aachen, Germany Email: Adriaan.Schmidt@rwth-aachen.de

More information

Modeling and Analysis of Traffic in High Speed Networks

Modeling and Analysis of Traffic in High Speed Networks The University of Kansas Technical Report Modeling and Analysis of Traffic in High Speed Networks Soma S. Muppidi Victor S. Frost ITTC-FY98-TR-10980-22 August 1997 Project Sponsor: Sprint Corporation Under

More information

PARAMETER ESTIMATION FOR THE LOG-LOGISTIC DISTRIBUTION BASED ON ORDER STATISTICS

PARAMETER ESTIMATION FOR THE LOG-LOGISTIC DISTRIBUTION BASED ON ORDER STATISTICS PARAMETER ESTIMATION FOR THE LOG-LOGISTIC DISTRIBUTION BASED ON ORDER STATISTICS Authors: Mohammad Ahsanullah Department of Management Sciences, Rider University, New Jersey, USA ahsan@rider.edu) Ayman

More information

Stochastic volatility models: tails and memory

Stochastic volatility models: tails and memory : tails and memory Rafa l Kulik and Philippe Soulier Conference in honour of Prof. Murad Taqqu 19 April 2012 Rafa l Kulik and Philippe Soulier Plan Model assumptions; Limit theorems for partial sums and

More information

Solutions to COMP9334 Week 8 Sample Problems

Solutions to COMP9334 Week 8 Sample Problems Solutions to COMP9334 Week 8 Sample Problems Problem 1: Customers arrive at a grocery store s checkout counter according to a Poisson process with rate 1 per minute. Each customer carries a number of items

More information

Financial Econometrics and Quantitative Risk Managenent Return Properties

Financial Econometrics and Quantitative Risk Managenent Return Properties Financial Econometrics and Quantitative Risk Managenent Return Properties Eric Zivot Updated: April 1, 2013 Lecture Outline Course introduction Return definitions Empirical properties of returns Reading

More information

Delay Bounds in Communication Networks with Heavy-Tailed and Self-Similar Traffic

Delay Bounds in Communication Networks with Heavy-Tailed and Self-Similar Traffic Delay Bounds in Communication Networks with Heavy-Tailed and Self-Similar Traffic Jörg Liebeherr, Almut Burchard, Florin Ciucu 1 Abstract Traffic with self-similar and heavy-tailed characteristics has

More information

Estimation of the long Memory parameter using an Infinite Source Poisson model applied to transmission rate measurements

Estimation of the long Memory parameter using an Infinite Source Poisson model applied to transmission rate measurements of the long Memory parameter using an Infinite Source Poisson model applied to transmission rate measurements François Roueff Ecole Nat. Sup. des Télécommunications 46 rue Barrault, 75634 Paris cedex 13,

More information

Mixed Stochastic and Event Flows

Mixed Stochastic and Event Flows Simulation Mixed and Event Flows Modeling for Simulation Dynamics Robert G. Cole 1, George Riley 2, Derya Cansever 3 and William Yurcick 4 1 Johns Hopkins University 2 Georgia Institue of Technology 3

More information

2WB05 Simulation Lecture 7: Output analysis

2WB05 Simulation Lecture 7: Output analysis 2WB05 Simulation Lecture 7: Output analysis Marko Boon http://www.win.tue.nl/courses/2wb05 December 17, 2012 Outline 2/33 Output analysis of a simulation Confidence intervals Warm-up interval Common random

More information

Statistical View of Least Squares

Statistical View of Least Squares Basic Ideas Some Examples Least Squares May 22, 2007 Basic Ideas Simple Linear Regression Basic Ideas Some Examples Least Squares Suppose we have two variables x and y Basic Ideas Simple Linear Regression

More information

In Proceedings of the 1997 Winter Simulation Conference, S. Andradottir, K. J. Healy, D. H. Withers, and B. L. Nelson, eds.

In Proceedings of the 1997 Winter Simulation Conference, S. Andradottir, K. J. Healy, D. H. Withers, and B. L. Nelson, eds. In Proceedings of the 1997 Winter Simulation Conference, S. Andradottir, K. J. Healy, D. H. Withers, and B. L. Nelson, eds. LONG-LASTING TRANSIENT CONDITIONS IN SIMULATIONS WITH HEAVY-TAILED WORKLOADS

More information

Ma 3/103: Lecture 25 Linear Regression II: Hypothesis Testing and ANOVA

Ma 3/103: Lecture 25 Linear Regression II: Hypothesis Testing and ANOVA Ma 3/103: Lecture 25 Linear Regression II: Hypothesis Testing and ANOVA March 6, 2017 KC Border Linear Regression II March 6, 2017 1 / 44 1 OLS estimator 2 Restricted regression 3 Errors in variables 4

More information

A discrete wavelet transform traffic model with application to queuing critical time scales

A discrete wavelet transform traffic model with application to queuing critical time scales University of Roma ÒLa SapienzaÓ Dept. INFOCOM A discrete wavelet transform traffic model with application to queuing critical time scales Andrea Baiocchi, Andrea De Vendictis, Michele Iarossi University

More information

Stochastic Optimization for Undergraduate Computer Science Students

Stochastic Optimization for Undergraduate Computer Science Students Stochastic Optimization for Undergraduate Computer Science Students Professor Joongheon Kim School of Computer Science and Engineering, Chung-Ang University, Seoul, Republic of Korea 1 Reference 2 Outline

More information

Charging from Sampled Network Usage

Charging from Sampled Network Usage Charging from Sampled Network Usage Nick Duffield Carsten Lund Mikkel Thorup AT&T Labs-Research, Florham Park, NJ 1 Do Charging and Sampling Mix? Usage sensitive charging charge based on sampled network

More information

Wavelets and Fractals

Wavelets and Fractals Wavelets and Fractals Bikramjit Singh Walia Samir Kagadkar Shreyash Gupta 1 Self-similar sets The best way to study any physical problem with known symmetry is to build a functional basis with symmetry

More information

Modeling Video Traffic Using M/G/ Input Processes: A Compromise Between Markovian and LRD Models. Marwan M. Krunz and Armand M.

Modeling Video Traffic Using M/G/ Input Processes: A Compromise Between Markovian and LRD Models. Marwan M. Krunz and Armand M. IEEE JOURNAL ON SELECTED AREAS IN COMMUNICATIONS, VOL. 16, NO. 5, JUNE 1998 733 Modeling Video Traffic Using M/G/ Input Processes: A Compromise Between Markovian and LRD Models Marwan M. Krunz and Armand

More information

Quantile-quantile plots and the method of peaksover-threshold

Quantile-quantile plots and the method of peaksover-threshold Problems in SF2980 2009-11-09 12 6 4 2 0 2 4 6 0.15 0.10 0.05 0.00 0.05 0.10 0.15 Figure 2: qqplot of log-returns (x-axis) against quantiles of a standard t-distribution with 4 degrees of freedom (y-axis).

More information

Slides 12: Output Analysis for a Single Model

Slides 12: Output Analysis for a Single Model Slides 12: Output Analysis for a Single Model Objective: Estimate system performance via simulation. If θ is the system performance, the precision of the estimator ˆθ can be measured by: The standard error

More information

A Virtual Queue Approach to Loss Estimation

A Virtual Queue Approach to Loss Estimation A Virtual Queue Approach to Loss Estimation Guoqiang Hu, Yuming Jiang, Anne Nevin Centre for Quantifiable Quality of Service in Communication Systems Norwegian University of Science and Technology, Norway

More information

A source model for ISDN packet data traffic *

A source model for ISDN packet data traffic * 1 A source model for ISDN packet data traffic * Kavitha Chandra and Charles Thompson Center for Advanced Computation University of Massachusetts Lowell, Lowell MA 01854 * Proceedings of the 28th Annual

More information

Chapter 11. Output Analysis for a Single Model Prof. Dr. Mesut Güneş Ch. 11 Output Analysis for a Single Model

Chapter 11. Output Analysis for a Single Model Prof. Dr. Mesut Güneş Ch. 11 Output Analysis for a Single Model Chapter Output Analysis for a Single Model. Contents Types of Simulation Stochastic Nature of Output Data Measures of Performance Output Analysis for Terminating Simulations Output Analysis for Steady-state

More information

Math 141. Quantile-Quantile Plots. Albyn Jones 1. jones/courses/ Library 304. Albyn Jones Math 141

Math 141. Quantile-Quantile Plots. Albyn Jones 1.  jones/courses/ Library 304. Albyn Jones Math 141 Math 141 Quantile-Quantile Plots Albyn Jones 1 1 Library 304 jones@reed.edu www.people.reed.edu/ jones/courses/141 Outline: Quantile-Quantile Plots Quantiles and Order Statistics Quantile-Quantile Plots

More information

Heavy Tails: The Origins and Implications for Large Scale Biological & Information Systems

Heavy Tails: The Origins and Implications for Large Scale Biological & Information Systems Heavy Tails: The Origins and Implications for Large Scale Biological & Information Systems Predrag R. Jelenković Dept. of Electrical Engineering Columbia University, NY 10027, USA {predrag}@ee.columbia.edu

More information

WAVELET-BASED ESTIMATION OF LONG-RANGE DEPENDENCE IN VIDEO AND NETWORK TRAFFIC TRACES

WAVELET-BASED ESTIMATION OF LONG-RANGE DEPENDENCE IN VIDEO AND NETWORK TRAFFIC TRACES WAVELET-BASED ESTIMATION OF LONG-RANGE DEPENDENCE IN VIDEO AND NETWORK TRAFFIC TRACES by Nikola Cackov Dipl. Ing., SS. Cyril and Methodius University, Skopje, Macedonia, 2001 a thesis submitted in partial

More information

Modelling internet round-trip time data

Modelling internet round-trip time data Modelling internet round-trip time data Keith Briggs Keith.Briggs@bt.com http://research.btexact.com/teralab/keithbriggs.html University of York 2003 July 18 typeset 2003 July 15 13:55 in LATEX2e on a

More information

Chapter 11 Output Analysis for a Single Model. Banks, Carson, Nelson & Nicol Discrete-Event System Simulation

Chapter 11 Output Analysis for a Single Model. Banks, Carson, Nelson & Nicol Discrete-Event System Simulation Chapter 11 Output Analysis for a Single Model Banks, Carson, Nelson & Nicol Discrete-Event System Simulation Purpose Objective: Estimate system performance via simulation If q is the system performance,

More information

Northwestern University Department of Electrical Engineering and Computer Science

Northwestern University Department of Electrical Engineering and Computer Science Northwestern University Department of Electrical Engineering and Computer Science EECS 454: Modeling and Analysis of Communication Networks Spring 2008 Probability Review As discussed in Lecture 1, probability

More information

Evaluation of Effective Bandwidth Schemes for Self-Similar Traffic

Evaluation of Effective Bandwidth Schemes for Self-Similar Traffic Proceedings of the 3th ITC Specialist Seminar on IP Measurement, Modeling and Management, Monterey, CA, September 2000, pp. 2--2-0 Evaluation of Effective Bandwidth Schemes for Self-Similar Traffic Stefan

More information

Computer Science, Informatik 4 Communication and Distributed Systems. Simulation. Discrete-Event System Simulation. Dr.

Computer Science, Informatik 4 Communication and Distributed Systems. Simulation. Discrete-Event System Simulation. Dr. Simulation Discrete-Event System Simulation Chapter 0 Output Analysis for a Single Model Purpose Objective: Estimate system performance via simulation If θ is the system performance, the precision of the

More information

Shortest Paths & Link Weight Structure in Networks

Shortest Paths & Link Weight Structure in Networks Shortest Paths & Link Weight Structure in etworks Piet Van Mieghem CAIDA WIT (May 2006) P. Van Mieghem 1 Outline Introduction The Art of Modeling Conclusions P. Van Mieghem 2 Telecommunication: e2e A ETWORK

More information

Inference for Regression Inference about the Regression Model and Using the Regression Line, with Details. Section 10.1, 2, 3

Inference for Regression Inference about the Regression Model and Using the Regression Line, with Details. Section 10.1, 2, 3 Inference for Regression Inference about the Regression Model and Using the Regression Line, with Details Section 10.1, 2, 3 Basic components of regression setup Target of inference: linear dependency

More information

Hydrological statistics for engineering design in a varying climate

Hydrological statistics for engineering design in a varying climate EGS - AGU - EUG Joint Assembly Nice, France, 6- April 23 Session HS9/ Climate change impacts on the hydrological cycle, extremes, forecasting and implications on engineering design Hydrological statistics

More information

Estimation de mesures de risques à partir des L p -quantiles

Estimation de mesures de risques à partir des L p -quantiles 1/ 42 Estimation de mesures de risques à partir des L p -quantiles extrêmes Stéphane GIRARD (Inria Grenoble Rhône-Alpes) collaboration avec Abdelaati DAOUIA (Toulouse School of Economics), & Gilles STUPFLER

More information

CITY UNIVERSITY OF HONG KONG 香港城市大學. Performance Evaluation of Long Range Dependent Queues 長相關隊列性能評價研究

CITY UNIVERSITY OF HONG KONG 香港城市大學. Performance Evaluation of Long Range Dependent Queues 長相關隊列性能評價研究 CITY UNIVERSITY OF HONG KONG 香港城市大學 Performance Evaluation of Long Range Dependent Queues 長相關隊列性能評價研究 Submitted to Department of Electronic Engineering 電子工程系 in Partial Fulfillment of the Requirements

More information

On the estimation of the heavy tail exponent in time series using the max spectrum. Stilian A. Stoev

On the estimation of the heavy tail exponent in time series using the max spectrum. Stilian A. Stoev On the estimation of the heavy tail exponent in time series using the max spectrum Stilian A. Stoev (sstoev@umich.edu) University of Michigan, Ann Arbor, U.S.A. JSM, Salt Lake City, 007 joint work with:

More information

Financial Econometrics and Volatility Models Extreme Value Theory

Financial Econometrics and Volatility Models Extreme Value Theory Financial Econometrics and Volatility Models Extreme Value Theory Eric Zivot May 3, 2010 1 Lecture Outline Modeling Maxima and Worst Cases The Generalized Extreme Value Distribution Modeling Extremes Over

More information

Tail empirical process for long memory stochastic volatility models

Tail empirical process for long memory stochastic volatility models Tail empirical process for long memory stochastic volatility models Rafa l Kulik and Philippe Soulier Carleton University, 5 May 2010 Rafa l Kulik and Philippe Soulier Quick review of limit theorems and

More information

Model Fitting. Jean Yves Le Boudec

Model Fitting. Jean Yves Le Boudec Model Fitting Jean Yves Le Boudec 0 Contents 1. What is model fitting? 2. Linear Regression 3. Linear regression with norm minimization 4. Choosing a distribution 5. Heavy Tail 1 Virus Infection Data We

More information

Exam Empirical Methods VU University Amsterdam, Faculty of Exact Sciences h, February 12, 2015

Exam Empirical Methods VU University Amsterdam, Faculty of Exact Sciences h, February 12, 2015 Exam Empirical Methods VU University Amsterdam, Faculty of Exact Sciences 18.30 21.15h, February 12, 2015 Question 1 is on this page. Always motivate your answers. Write your answers in English. Only the

More information

Introduction to Algorithmic Trading Strategies Lecture 10

Introduction to Algorithmic Trading Strategies Lecture 10 Introduction to Algorithmic Trading Strategies Lecture 10 Risk Management Haksun Li haksun.li@numericalmethod.com www.numericalmethod.com Outline Value at Risk (VaR) Extreme Value Theory (EVT) References

More information

4. Distributions of Functions of Random Variables

4. Distributions of Functions of Random Variables 4. Distributions of Functions of Random Variables Setup: Consider as given the joint distribution of X 1,..., X n (i.e. consider as given f X1,...,X n and F X1,...,X n ) Consider k functions g 1 : R n

More information

Predicting long term impact of scientific publications

Predicting long term impact of scientific publications Master thesis Applied Mathematics (Chair: Stochastic Operations Research) Faculty of Electrical Engineering, Mathematics and Computer Science (EEMCS) Predicting long term impact of scientific publications

More information

Resource Allocation for Video Streaming in Wireless Environment

Resource Allocation for Video Streaming in Wireless Environment Resource Allocation for Video Streaming in Wireless Environment Shahrokh Valaee and Jean-Charles Gregoire Abstract This paper focuses on the development of a new resource allocation scheme for video streaming

More information

High speed access links. High speed access links. a(t) process (aggregate traffic into buffer)

High speed access links. High speed access links. a(t) process (aggregate traffic into buffer) Long Range Dependence in Network Traffic and the Closed Loop Behaviour of Buffers Under Adaptive Window Control Arzad A. Kherani and Anurag Kumar Dept. of Electrical Communication Engg. Indian Institute

More information

Econ 620. Matrix Differentiation. Let a and x are (k 1) vectors and A is an (k k) matrix. ) x. (a x) = a. x = a (x Ax) =(A + A (x Ax) x x =(A + A )

Econ 620. Matrix Differentiation. Let a and x are (k 1) vectors and A is an (k k) matrix. ) x. (a x) = a. x = a (x Ax) =(A + A (x Ax) x x =(A + A ) Econ 60 Matrix Differentiation Let a and x are k vectors and A is an k k matrix. a x a x = a = a x Ax =A + A x Ax x =A + A x Ax = xx A We don t want to prove the claim rigorously. But a x = k a i x i i=

More information

Probability and Statistics

Probability and Statistics Probability and Statistics 1 Contents some stochastic processes Stationary Stochastic Processes 2 4. Some Stochastic Processes 4.1 Bernoulli process 4.2 Binomial process 4.3 Sine wave process 4.4 Random-telegraph

More information

May 3, To the Graduate School:

May 3, To the Graduate School: May 3, 2002 To the Graduate School: This thesis entitled Simulation of Self-similar Network Traffic Using High Variance ON/OFF Sources and written by Philip M. Wells is presented to the Graduate School

More information

Math 180A. Lecture 16 Friday May 7 th. Expectation. Recall the three main probability density functions so far (1) Uniform (2) Exponential.

Math 180A. Lecture 16 Friday May 7 th. Expectation. Recall the three main probability density functions so far (1) Uniform (2) Exponential. Math 8A Lecture 6 Friday May 7 th Epectation Recall the three main probability density functions so far () Uniform () Eponential (3) Power Law e, ( ), Math 8A Lecture 6 Friday May 7 th Epectation Eample

More information

SPLITTING AND MERGING OF PACKET TRAFFIC: MEASUREMENT AND MODELLING

SPLITTING AND MERGING OF PACKET TRAFFIC: MEASUREMENT AND MODELLING SPLITTING AND MERGING OF PACKET TRAFFIC: MEASUREMENT AND MODELLING Nicolas Hohn 1 Darryl Veitch 1 Tao Ye 2 1 CUBIN, Department of Electrical & Electronic Engineering University of Melbourne, Vic 3010 Australia

More information

Network Performance Analysis based on Histogram Workload Models (Extended Version)

Network Performance Analysis based on Histogram Workload Models (Extended Version) Network Performance Analysis based on Histogram Workload Models (Extended Version) Enrique Hernández-Orallo, Joan Vila-Carbó Departamento de Informática de Sistemas y Computadores. Universidad Politécnica

More information

Generalized quantiles as risk measures

Generalized quantiles as risk measures Generalized quantiles as risk measures Bellini, Klar, Muller, Rosazza Gianin December 1, 2014 Vorisek Jan Introduction Quantiles q α of a random variable X can be defined as the minimizers of a piecewise

More information

Approximate Formulas for the Cell Loss Probability in Finite-Buffer Queues with Correlated Input. Guidance. Shigeaki Maeda

Approximate Formulas for the Cell Loss Probability in Finite-Buffer Queues with Correlated Input. Guidance. Shigeaki Maeda Approximate Formulas for the Cell Loss Probability in Finite-Buffer Queues with Correlated Input Guidance Professor Professor Masao Fukushima Tetsuya Takine Shigeaki Maeda 2004 Graduate Course in Department

More information

Some functional (Hölderian) limit theorems and their applications (II)

Some functional (Hölderian) limit theorems and their applications (II) Some functional (Hölderian) limit theorems and their applications (II) Alfredas Račkauskas Vilnius University Outils Statistiques et Probabilistes pour la Finance Université de Rouen June 1 5, Rouen (Rouen

More information

6.207/14.15: Networks Lecture 12: Generalized Random Graphs

6.207/14.15: Networks Lecture 12: Generalized Random Graphs 6.207/14.15: Networks Lecture 12: Generalized Random Graphs 1 Outline Small-world model Growing random networks Power-law degree distributions: Rich-Get-Richer effects Models: Uniform attachment model

More information

STA 2201/442 Assignment 2

STA 2201/442 Assignment 2 STA 2201/442 Assignment 2 1. This is about how to simulate from a continuous univariate distribution. Let the random variable X have a continuous distribution with density f X (x) and cumulative distribution

More information

Performance Evaluation of a Queue Fed by a Poisson Pareto Burst Process

Performance Evaluation of a Queue Fed by a Poisson Pareto Burst Process Performance Evaluation of a Queue Fed by a Poisson Pareto Burst Process Ronald G. Addie University of Southern Queensland Toowoomba Qld 4350, Australia Phone: (+61 7) 4631 5520 Fax: (+61 7) 4631 5550 Email:

More information

Extreme L p quantiles as risk measures

Extreme L p quantiles as risk measures 1/ 27 Extreme L p quantiles as risk measures Stéphane GIRARD (Inria Grenoble Rhône-Alpes) joint work Abdelaati DAOUIA (Toulouse School of Economics), & Gilles STUPFLER (University of Nottingham) December

More information

Verification of Continuous Forecasts

Verification of Continuous Forecasts Verification of Continuous Forecasts Presented by Barbara Brown Including contributions by Tressa Fowler, Barbara Casati, Laurence Wilson, and others Exploratory methods Scatter plots Discrimination plots

More information

PERFORMANCE-RELEVANT NETWORK TRAFFIC CORRELATION

PERFORMANCE-RELEVANT NETWORK TRAFFIC CORRELATION PERFORMANCE-RELEVANT NETWORK TRAFFIC CORRELATION Hans-Peter Schwefel Center for Teleinfrastruktur Aalborg University email: hps@kom.aau.dk Lester Lipsky Dept. of Comp. Sci. & Eng. University of Connecticut

More information

Analysis of Markov Reward Models with Partial Reward Loss Based on a Time Reverse Approach

Analysis of Markov Reward Models with Partial Reward Loss Based on a Time Reverse Approach Analysis of Markov Reward Models with Partial Reward Loss Based on a Time Reverse Approach Gábor Horváth, Miklós Telek Technical University of Budapest, 1521 Budapest, Hungary {hgabor,telek}@webspn.hit.bme.hu

More information

Recitation 2: Probability

Recitation 2: Probability Recitation 2: Probability Colin White, Kenny Marino January 23, 2018 Outline Facts about sets Definitions and facts about probability Random Variables and Joint Distributions Characteristics of distributions

More information

Review of Statistics

Review of Statistics Review of Statistics Topics Descriptive Statistics Mean, Variance Probability Union event, joint event Random Variables Discrete and Continuous Distributions, Moments Two Random Variables Covariance and

More information

Data mining in large graphs

Data mining in large graphs Data mining in large graphs Christos Faloutsos University www.cs.cmu.edu/~christos ALLADIN 2003 C. Faloutsos 1 Outline Introduction - motivation Patterns & Power laws Scalability & Fast algorithms Fractals,

More information

Fractal Behavior of Video and Data Traffic. Abstract

Fractal Behavior of Video and Data Traffic. Abstract Fractal Behavior of Video and Data Traffic Wolfgang Frohberg wfrohber@rcs.sel de The Networks Group International Computer Science Institute 947 Center Street., Berkeley, CA 9474 TR-96-27 July 996 Abstract

More information

Econometrics I. Professor William Greene Stern School of Business Department of Economics 3-1/29. Part 3: Least Squares Algebra

Econometrics I. Professor William Greene Stern School of Business Department of Economics 3-1/29. Part 3: Least Squares Algebra Econometrics I Professor William Greene Stern School of Business Department of Economics 3-1/29 Econometrics I Part 3 Least Squares Algebra 3-2/29 Vocabulary Some terms to be used in the discussion. Population

More information

Self-Similarity and Long Range Dependence on the Internet: A Second Look at the Evidence, Origins and Implications

Self-Similarity and Long Range Dependence on the Internet: A Second Look at the Evidence, Origins and Implications Self-Similarity and Long Range Dependence on the Internet: A Second Look at the Evidence, Origins and Implications Wei-Bo Gong Dept. of Electrical Engineering University of Massachusetts Amherst, MA 13

More information

Confidence Intervals, Testing and ANOVA Summary

Confidence Intervals, Testing and ANOVA Summary Confidence Intervals, Testing and ANOVA Summary 1 One Sample Tests 1.1 One Sample z test: Mean (σ known) Let X 1,, X n a r.s. from N(µ, σ) or n > 30. Let The test statistic is H 0 : µ = µ 0. z = x µ 0

More information

Chapter 5. Statistical Models in Simulations 5.1. Prof. Dr. Mesut Güneş Ch. 5 Statistical Models in Simulations

Chapter 5. Statistical Models in Simulations 5.1. Prof. Dr. Mesut Güneş Ch. 5 Statistical Models in Simulations Chapter 5 Statistical Models in Simulations 5.1 Contents Basic Probability Theory Concepts Discrete Distributions Continuous Distributions Poisson Process Empirical Distributions Useful Statistical Models

More information

PROBABILITY DISTRIBUTION

PROBABILITY DISTRIBUTION PROBABILITY DISTRIBUTION DEFINITION: If S is a sample space with a probability measure and x is a real valued function defined over the elements of S, then x is called a random variable. Types of Random

More information

Performance Evaluation of Queuing Systems

Performance Evaluation of Queuing Systems Performance Evaluation of Queuing Systems Introduction to Queuing Systems System Performance Measures & Little s Law Equilibrium Solution of Birth-Death Processes Analysis of Single-Station Queuing Systems

More information

Budapest University of Technology and Economics Department of Telecommunications. Approximating non-markovian Behaviour by Markovian Models

Budapest University of Technology and Economics Department of Telecommunications. Approximating non-markovian Behaviour by Markovian Models Budapest University of Technology and Economics Department of Telecommunications Approximating non-markovian Behaviour by Markovian Models András Horváth Ph.D dissertation Scientific supervisor Prof. Dr.

More information

Shape of the return probability density function and extreme value statistics

Shape of the return probability density function and extreme value statistics Shape of the return probability density function and extreme value statistics 13/09/03 Int. Workshop on Risk and Regulation, Budapest Overview I aim to elucidate a relation between one field of research

More information

Ch3. TRENDS. Time Series Analysis

Ch3. TRENDS. Time Series Analysis 3.1 Deterministic Versus Stochastic Trends The simulated random walk in Exhibit 2.1 shows a upward trend. However, it is caused by a strong correlation between the series at nearby time points. The true

More information

On the Limitations of the Variance-Time Test for Inference of Long-Range Dependence

On the Limitations of the Variance-Time Test for Inference of Long-Range Dependence On the Limitations of the Variance-Time Test for Inference of Long-Range Dependence Marwan Krunz Department of Electrical & Computer Engineering University of Arizona Tucson, AZ 85721 krunz@ece.arizona.edu

More information

Maximum Likelihood Estimation of the Flow Size Distribution Tail Index from Sampled Packet Data

Maximum Likelihood Estimation of the Flow Size Distribution Tail Index from Sampled Packet Data Maximum Likelihood Estimation of the Flow Size Distribution Tail Index from Sampled Packet Data Patrick Loiseau 1, Paulo Gonçalves 1, Stéphane Girard 2, Florence Forbes 2, Pascale Vicat-Blanc Primet 1

More information

The self-similar burstiness of the Internet

The self-similar burstiness of the Internet NEM12 12//03 0:39 PM Page 1 INTERNATIONAL JOURNAL OF NETWORK MANAGEMENT Int. J. Network Mgmt 04; 14: 000 000 (DOI:.02/nem.12) 1 Self-similar and fractal nature of Internet traffic By D. Chakraborty* A.

More information

Random Walk Based Algorithms for Complex Network Analysis

Random Walk Based Algorithms for Complex Network Analysis Random Walk Based Algorithms for Complex Network Analysis Konstantin Avrachenkov Inria Sophia Antipolis Winter School on Complex Networks 2015, Inria SAM, 12-16 Jan. Complex networks Main features of complex

More information

Lecturer: Olga Galinina

Lecturer: Olga Galinina Renewal models Lecturer: Olga Galinina E-mail: olga.galinina@tut.fi Outline Reminder. Exponential models definition of renewal processes exponential interval distribution Erlang distribution hyperexponential

More information

Linear models and their mathematical foundations: Simple linear regression

Linear models and their mathematical foundations: Simple linear regression Linear models and their mathematical foundations: Simple linear regression Steffen Unkel Department of Medical Statistics University Medical Center Göttingen, Germany Winter term 2018/19 1/21 Introduction

More information