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On-line estimation of the tail index for heavy-tailed distributions with application to WWW-traffic

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1 Author(s)
Markovich, N.M. ; Inst. of Control Sci., Russian Acad. of Sci., Moscow, Russia

An important problem connected with the heavy-tailed probability density function (PDF) and high quantile estimation is the estimation of the tail index. The recursive estimator of the tail index is investigated and its accuracy is obtained. The parameter of this estimator is calculated by bootstrap method.

Published in:

Next Generation Internet Networks, 2005

Date of Conference:

18-20 April 2005