On the limitations of the variance-time test for inference of long-range dependence

Research output: Chapter in Book/Report/Conference proceedingConference contribution

11 Citations (Scopus)

Abstract

The objective of this paper is to demonstrate the limitations of the variance-time (VT) test as a statistical tool for inferring long-range dependence (LRD) in network traffic. Since the early Bellcore studies [7], [16], LRD has been in the center of a continuous debate within the teletraffic community. The controversy is typically focused on the utility of LRD models to predict the performance at network buffers. Our work here is not meant to advocate one modeling approach over another, but to point out (experimentally and theoretically) to the caveats in using the VT test as a tool for detecting LRD. We do that by deriving simple analytical expressions for the slope of the aggregated variance in three autocorrelated traffic models: M/G/∞ process (short-range dependent (SRD) but non-Markovian), the discrete autoregressive of order one model (SRD Markovian), and the fractional ARIMA process (LRD). Our main result is that the VT test often indicates, falsely, the existence of an LRD structure (i.e., H > 0.5) in synthetically generated traces from the two SRD models. The bias in the VT test, however, diminishes monotonically with the length of the trace. We provide some guidelines on selecting the minimum trace length so that the bias is negligible.

Original languageEnglish (US)
Title of host publicationProceedings - IEEE INFOCOM
Pages1254-1260
Number of pages7
Volume3
StatePublished - 2001
Event20th Annual Joint Conference of the IEEE Computer and Communications Societies - Anchorage, AK, United States
Duration: Apr 24 2001Apr 26 2001

Other

Other20th Annual Joint Conference of the IEEE Computer and Communications Societies
CountryUnited States
CityAnchorage, AK
Period4/24/014/26/01

ASJC Scopus subject areas

  • Hardware and Architecture
  • Electrical and Electronic Engineering

Cite this

Krunz, M. M. (2001). On the limitations of the variance-time test for inference of long-range dependence. In Proceedings - IEEE INFOCOM (Vol. 3, pp. 1254-1260)

On the limitations of the variance-time test for inference of long-range dependence. / Krunz, Marwan M.

Proceedings - IEEE INFOCOM. Vol. 3 2001. p. 1254-1260.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Krunz, MM 2001, On the limitations of the variance-time test for inference of long-range dependence. in Proceedings - IEEE INFOCOM. vol. 3, pp. 1254-1260, 20th Annual Joint Conference of the IEEE Computer and Communications Societies, Anchorage, AK, United States, 4/24/01.
Krunz MM. On the limitations of the variance-time test for inference of long-range dependence. In Proceedings - IEEE INFOCOM. Vol. 3. 2001. p. 1254-1260
@inproceedings{fc7dbc10735048f88c78128378896eee,
title = "On the limitations of the variance-time test for inference of long-range dependence",
abstract = "The objective of this paper is to demonstrate the limitations of the variance-time (VT) test as a statistical tool for inferring long-range dependence (LRD) in network traffic. Since the early Bellcore studies [7], [16], LRD has been in the center of a continuous debate within the teletraffic community. The controversy is typically focused on the utility of LRD models to predict the performance at network buffers. Our work here is not meant to advocate one modeling approach over another, but to point out (experimentally and theoretically) to the caveats in using the VT test as a tool for detecting LRD. We do that by deriving simple analytical expressions for the slope of the aggregated variance in three autocorrelated traffic models: M/G/∞ process (short-range dependent (SRD) but non-Markovian), the discrete autoregressive of order one model (SRD Markovian), and the fractional ARIMA process (LRD). Our main result is that the VT test often indicates, falsely, the existence of an LRD structure (i.e., H > 0.5) in synthetically generated traces from the two SRD models. The bias in the VT test, however, diminishes monotonically with the length of the trace. We provide some guidelines on selecting the minimum trace length so that the bias is negligible.",
author = "Krunz, {Marwan M}",
year = "2001",
language = "English (US)",
volume = "3",
pages = "1254--1260",
booktitle = "Proceedings - IEEE INFOCOM",

}

TY - GEN

T1 - On the limitations of the variance-time test for inference of long-range dependence

AU - Krunz, Marwan M

PY - 2001

Y1 - 2001

N2 - The objective of this paper is to demonstrate the limitations of the variance-time (VT) test as a statistical tool for inferring long-range dependence (LRD) in network traffic. Since the early Bellcore studies [7], [16], LRD has been in the center of a continuous debate within the teletraffic community. The controversy is typically focused on the utility of LRD models to predict the performance at network buffers. Our work here is not meant to advocate one modeling approach over another, but to point out (experimentally and theoretically) to the caveats in using the VT test as a tool for detecting LRD. We do that by deriving simple analytical expressions for the slope of the aggregated variance in three autocorrelated traffic models: M/G/∞ process (short-range dependent (SRD) but non-Markovian), the discrete autoregressive of order one model (SRD Markovian), and the fractional ARIMA process (LRD). Our main result is that the VT test often indicates, falsely, the existence of an LRD structure (i.e., H > 0.5) in synthetically generated traces from the two SRD models. The bias in the VT test, however, diminishes monotonically with the length of the trace. We provide some guidelines on selecting the minimum trace length so that the bias is negligible.

AB - The objective of this paper is to demonstrate the limitations of the variance-time (VT) test as a statistical tool for inferring long-range dependence (LRD) in network traffic. Since the early Bellcore studies [7], [16], LRD has been in the center of a continuous debate within the teletraffic community. The controversy is typically focused on the utility of LRD models to predict the performance at network buffers. Our work here is not meant to advocate one modeling approach over another, but to point out (experimentally and theoretically) to the caveats in using the VT test as a tool for detecting LRD. We do that by deriving simple analytical expressions for the slope of the aggregated variance in three autocorrelated traffic models: M/G/∞ process (short-range dependent (SRD) but non-Markovian), the discrete autoregressive of order one model (SRD Markovian), and the fractional ARIMA process (LRD). Our main result is that the VT test often indicates, falsely, the existence of an LRD structure (i.e., H > 0.5) in synthetically generated traces from the two SRD models. The bias in the VT test, however, diminishes monotonically with the length of the trace. We provide some guidelines on selecting the minimum trace length so that the bias is negligible.

UR - http://www.scopus.com/inward/record.url?scp=0035020266&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=0035020266&partnerID=8YFLogxK

M3 - Conference contribution

AN - SCOPUS:0035020266

VL - 3

SP - 1254

EP - 1260

BT - Proceedings - IEEE INFOCOM

ER -