Recent traffic measurement studies from a wide range of working packet networks have convincingly established the presence of significant statistical features that are characteristic of fractal traffic processes, in the sense that these features span many time scales. Of particular interest in packet traffic modeling is a property called long-range dependence, which is marked by the presence of correlations that can extend over many time scales. In this paper, we demonstrate empirically that, beyond its statistical significance in traffic measurements, long-range dependence has considerable impact on queueing performance, and is a dominant characteristic for a number of packet traffic engineering problems. In addition, we give conditions under which the use of compact and simple traffic models that incorporate long-range dependence in a parsimonious manner (e.g., fractional Brownian motion) is justified and can lead to new insights into the traffic management of high-speed networks. 1...

Using high-frequency data on deutschemark and yen returns against the dollar, we construct model-free estimates of daily exchange rate volatility and correlation that cover an entire decade. Our estimates, termed realized volatilities and correlations, are not only model-free, but also approximately free of measurement error under general conditions, which we discuss in detail. Hence, for practical purposes, we may treat the exchange rate volatilities and correlations as observed rather than latent. We do so, and we characterize their joint distribution, both unconditionally and conditionally. Noteworthy results include a simple normality-inducing volatility transformation, high contemporaneous correlation across volatilities, high correlation between correlation and volatilities, pronounced and persistent dynamics in volatilities and correlations, evidence of long-memory dynamics in volatilities and correlations, and remarkably precise scaling laws under temporal aggregation.

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Efficient Method of Moments (EMM) is used to fit the standard stochastic volatility model and various extensions to several daily financial time series. EMM matches to the score of a model determined by data analysis called the score generator. Discrepancies reveal characteristics of data that stochastic volatility models cannot approximate. The two score generators employed here are "Semiparametric ARCH" and "Nonlinear Nonparametric". With the first, the standard model is rejected, although some extensions are accepted. With the second, all versions are rejected. The extensions required for an adequate fit are so elaborate that nonparametric specifications are probably more convenient. Corresponding author: George Tauchen, Duke University, Department of Economics, Social Science Building, Box 90097, Durham NC 27708-0097 USA, phone 1-919-660-1812, FAX 1-919-684-8974, e-mail get@tauchen.econ.duke.edu. 0 1 Introduction The stochastic volatility model has been proposed as a descripti...

This paper evaluates linear models for predicting the Digital Unix five-second host load average from 1 to 30 seconds into the future. A detailed statistical study of a large number of long, fine grain load traces from a variety of real machines leads to consideration of the Box-Jenkins models (AR, MA, ARMA, ARIMA), and the ARFIMA models (due to self-similarity.) We also consider a simple windowed-mean model. The computational requirements of these models span a wide range, making some more practical than others for incorporation into an online prediction system. We rigorously evaluate the predictive power of the models by running a large number of randomized testcases on the load traces and then data-mining their results. The main conclusions are that load is consistently predictable to a very useful degree, and that the simple, practical models such as AR are sufficient for host load prediction. We recommend AR(16) models or better for host load prediction. We implement an online host load prediction system around the AR(16) model and evaluate its overhead, finding that it uses miniscule amounts of CPU time and network bandwidth

Abstract—RPS is a publicly available toolkit that allows a practitioner to straightforwardly create flexible online and offline resource prediction systems in which resources are represented by independent, periodically sampled, scalar-valued measurement streams. The systems predict the future values of such streams from past values and are composed at runtime out of a large and extensible set of communicating components that are in turn constructed using RPS’s extensible sensor, prediction, wavelet, and communication libraries. This paper describes the design, implementation, and performance of RPS. We have used RPS extensively to evaluate predictive models and build online prediction systems for host load, Windows performance data, and network bandwidth. The computation and communication overheads involved in such systems are quite low. Index Terms—Distributed systems, performance of systems. æ 1

This paper evaluates linear models for predicting the Digital Unix five-second load average from 1 to 30 seconds into the future. A detailed statistical study of a large number of load traces leads to consideration of the Box-Jenkins models (AR, MA, ARMA, ARIMA), and the ARFIMA models (due to self-similarity.) These models, as well as a simple windowed-mean scheme, are evaluated by running a large number of randomized testcases on the load traces. The main conclusions are that load is consistently predictable to a useful degree, and that the simpler models such as AR are sufficient for doing this prediction.

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We apply the local linear regression technique for estimation of functional-coefficient regression models for time series data. The models include threshold autoregressive models (Tong 1990) and functional-coefficient autoregressive models (Chen and Tsay 1993) as special cases but with the added advantages such as depicting finer structure of the underlying dynamics and better post-sample forecasting performance. We have also proposed a new bootstrap test for the goodness of fit of models and a bandwidth selector based on newly defined cross-validatory estimation for the expected forecasting errors. The proposed methodology is data-analytic and is of appreciable flexibility to analyze complex and multivariate nonlinear structures without suffering from the "curse of dimensionality". The asymptotic properties of the proposed estimators are investigated under the ff-mixing condition. Both simulated and real data examples are used for illustration. Key Words: ff-mixing; Asymptotic normali...

Modern telecommunications networks are being designed to accomodate a heterogenous mix of traffic classes ranging from traditional telephone calls to video and data services. Thus, traffic models are of crucial importance to the engineering and performance analysis of telecommunications system, notably congestion and overload controls and capacity estimation. This chapter surveys teletraffic models, addressing both theoretical and computational aspects. It first surveys the main classes of teletraffic models commonly used in teletraffic modeling, and then proceeds to survey traffic methods for computing statistics relevant to the engineering a teletraffic network. 1 INTRODUCTION Traffic is the driving force of telecommunications systems, representing customers making phone calls, transferring data files and other electronic information, or more recently, transmitting compressed video frames to a display device. The most common modeling context is queueing; traffic is offered to a qu...