swMATH ID: 505
Software Authors: Stilian A. Stoev
Description: Local Analysis of Self-Similarity - The LASS tool is designed to handle time series that have long-range dependence and are long enough that some parts are essentially stationary, while others exhibit non-stationarity, which is either deterministic or stochastic in nature. The tool exploits wavelets to analyze the local dependence structure in the data over a set of windows. It can be used to visualize local deviations from self-similar, long-range dependence scaling and to provide reliable local estimates of the Hurst exponents. The tool, which is illustrated by using a trace of Internet traffic measurements, can also be applied to economic time series. In addition, a median-based wavelet spectrum is introduced. It yields robust local or global estimates of the Hurst parameter that are less susceptible to local non-stationarity. The software tools are freely available and their use is described in an appendix.
Homepage: http://www.stat.lsa.umich.edu/~sstoev/
Dependencies: Matlab
Keywords: long-range dependence; self-similarity; wavelets; local self-similarity; Hurst parameter; wavelet spectrum; internet traffic
Related Software: longmemo; wmtsa; Matlab; NESToolbox; fArma; nlt; Adlift; R; robustbase; Ninteger; CRONE; Hurst exponent; SiZer; SimEstFBM; KernSmooth; OEIS
Cited in: 29 Publications

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