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Hurst parameter estimation by wavelet transformation and a filter bank for

self-similar traffic

Article  in  Automatic Control and Computer Sciences · September 2015

DOI: 10.3103/S0146411615050041

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ISSN 01464116, Automatic Control and Computer Sciences, 2015, Vol. 49, No. 5, pp. 286–292. © Allerton Press, Inc., 2015.
Original Russian Text © E. Grabs, E. Petersons, 2015, published in Avtomatika i Vychislitel’naya Tekhnika, 2015, No. 5, pp. 47–56.

Hurst parameter Estimation by Wavelet Transformation

and a Filter Bank for SelfSimilar Traffic
E. Grabs and E. Petersons
Riga Technical University, ul. Lomonosova 1, Riga, LV1019 Latvia
email: elans.grabs@rtu.lv, ernests.petersons@rtu.lv
Received March 12, 2015; in final form, July 8, 2015

Abstract—A model of traffic generation with the preset Hurst parameter (selfsimilarity) followed by
its estimation in Matlab using wavelet transformation and a filter banks is described. The error in esti
mating the given parameter is analyzed depending on the value of this parameter and the number of
wavelet transformation scales used in the estimation procedure. This study is experimental, aimed at
realtime estimation of the Hurst parameter and the accuracy of this estimation in the case of wavelet
transformation with the help of filter banks.

Keywords: discrete wavelet transformation, filter banks, Hurst parameter, queueing theory, Hurst
parameter estimation error, simulation, selfsimilar traffic
DOI: 10.3103/S0146411615050041

1. INTRODUCTION
It was discovered quite long ago [1] that a modern computer network flow is structurally selfsimilar.
This is reflected in similarity of the parameters of traffic analyzed on different time scales, and this self
similar process is also referred to as fractal. At the same time, old techniques and models of queueing sys
tem design provide crude descriptions of the operation of these systems for fractal traffic [2–4].
Numerous studies in this field have been conducted to the present. However, it is clear in bare outlines
that this phenomenon has a significant impact on computer network capacity. At the same time, attempts
to control communication parameters also affect traffic selfsimilarity and parameters, including in new
generation networks as shown, for example, in [5–7].
This paper is aimed at estimating the Hurst parameter (selfsimilarity) of data traffic with minimal time
consumption when evaluating the selfsimilarity parameter. Since different kinds of traffic are character
ized by different Hurst parameters, our approach makes it possible to define the kind of traffic with an
approximation and its priority in queueing systems.
The source traffic for our experiments was modeled in the Matlab environment, which is described in
detail in [8]. Matlab is used because it makes possible discrete wavelet and any other transformation in
simulating systems of network traffic via Simulink, which is part of the Matlab environment. The selfsim
ilarity parameter was also estimated in Matlab. The developed wavelet method of selfsimilarity estima
tion logically applies to real traffic as well. In this case, however, the exact value of the selfsimilarity
parameter will be unknown and it seems impossible to find the error in estimating the selfsimilarity
parameter.

2. SIMULATED TRAFFIC FOR ESTIMATING THE SELFSIMILARITY PARAMETER

The impact on the accuracy of finding the selfsimilarity parameter of such parameters as the number
of scales of discrete wavelet transformation, transformation window length, and their dependence on the
H parameter was estimated using a traffic processing program created in Matlab. This software estimates the
selfsimilarity parameter Ĥ for the given process and the absolute error of such an estimate ΔH = |Ĥ – H| for
different transformation window lengths and numbers of scales.
The traffic for which the selfsimilarity parameter was estimated was also generated in Matlab as a ran
dom process, i.e., the number of packages per unit time. The amount of time x between packages is a dis
tribution according to the Pareto principle. This is one of the most suitable distributions between packages
of selfsimilar traffic. The distribution function has two parameters related to the traffic characteristics.

286
 HURST PARAMETER ESTIMATION BY WAVELET TRANSFORMATION 287

These parameters are α = 3 − 2H and β = α − 1, where λ is the flow intensity at 1 ≤ α ≤ 2. This article also
αλ
considers the results of estimating the Hurst parameter for On–Off traffic following the Pareto principle,
the flow spaces and pauses for which are also distributed according to this principle.
The selfsimilar traffic was formed as the number of queries per unit time Δt, as a random value follow
ing the Pareto principle. If a regular query falls outside the limits of the current measurement range Δt, it
will be transferred to the next measurement range. The resulting traffic is saved in files for further process
ing. In all the simulations, the traffic with the measurement range Δt = 1 and intensity λ = 50 was used.
In this respect, the total flow is T = 224 Δt measurement ranges.
Two series of experiments were conducted:
• analysis of traffic with a selfsimilarity parameter of 0.5 < H < 0.99 and incremental step of 0.1;
• analysis of traffic with a selfsimilarity parameter of 0.8 < H < 0.99 and incremental step of 0.05.
The generated traffic is processed in segments with a length from Mmin = 210 = 1024 to Mmax = 224 =
16777216. Each subsequent doubling of length increases the number of scales by 1. The selfsimilarity Ĥ
was estimated, therefore, for a number of scales from Jmin = 2 to Jmax = 22. Since the average value of Ĥ is
estimated, the number of estimates depends on the length of segments into which the entire data set is
divided. For example, the average value of Ĥ for the length of segment Mmin = 224 which covers the entire
traffic data set will be calculated taking account the sole estimate of this parameter by Jmax = 22 scales. The
absolute average estimate error ΔH = | Ĥ – H|, where H is the calculated value of the traffic parameter as
a function of the density of distribution of amounts of time among queries, is estimated as well.

3. DISCRETE WAVELET TRANSFORMATION USING FILTER BANKS

Discrete wavelet transformation is essentially the splitting of a sequence of counts into basic functions.
There are a lot of basic functions for this splitting, which is described in specialized literature in sufficient
detail. The common factor in all cases, however, is the main wavelet, referred to as the parent wavelet. New
basic functions are derived from this wavelet by shifting and changing the scale. These functions are used
to decompose the sequence of counts. The discrete wavelet transformation used to estimate the Hurst
parameter in this paper is performed using selected discrete values of the parent wavelet scales. The parent
wavelet and any of its derivatives are discrete time functions.
The bank filter [9] splits the signal into fitting and detail factors of wavelet transformation. The algo
rithm suggested in [10] applies to any discrete wavelets. Here for transformation we use Daubechies wave
lets with a length of the pulse response (number of factors) of filters L = 6. The fitting filter factors are
h0[n] = {0.035226, –0.085441, –0.135011, 0.459878, 0.806892, 0.332671}, (1)
where n = 0, 1, 2, …, N and N is the filter position number. In their respect, the factors of the detailing
filter of the orthogonal filter bank can be found using the following equation:
h1[n] = –(–1)n h0 [N – n] for all n = 0, 1, 2, …, N. (2)
The calculation of discrete wavelet transformation results in two sets of factors: approximation factors
{ak}and detail factors {dk}. The number of these factors right after filtration coincides with the number of
counts of the input signal of the filter bank. Excessive counts are eliminated; therefore, by decimation ↓2
is therefore performed—in other words, the sampling frequency is minimized twofold. If the number of
signal counts is K, then K/2 of {ak}and {dk} with data on low and highfrequency signal components will
be found, respectively, when calculating the wavelet transformation.
Discrete wavelet transformation is often performed for several scales, and filtration/decimation is con
secutively repeated several times as required. In this case, the approximating factors of the previous scale
j – 1 are used as the input signal for transformation WT (j). This procedure is repeated J times, which
results in the following factors:
• set of approximation factors {aJ, k} for top scale J;
• sets of detail factors {dJ, k}, {dJ – 1, k}, …, {d1, k} for all scales 1 ≤ j ≤ J.
The overall number of factors during calculation of the discrete wavelet transformation for J scales thus
equals K number of initial signal counts. This multiscale wavelet transformation is exactly the one used as
the basic one in estimating the traffic selfsimilarity parameter: if the scale increases, the analyzed fre
quencies decrease twofold. If the process is selfsimilar, i.e., it behaves similarly in different time scales,

AUTOMATIC CONTROL AND COMPUTER SCIENCES Vol. 49 No. 5 2015

288 GRABS, PETERSONS

16 0.70
15
14 0.65

H estimate
log2(Dj)

13
12 0.60
11
10 0.55
9
8 0.50
2 4 6 8 10 12 14 16 18
2 4 6 8 10 12 14 Number of scales, J
j

Fig. 1. Dependence of logarithm of power of Fig. 2. Average estimate Ĥ for H = 0.5 for segment
refinement coefficients factors on scale number. length M = 221.

then this must be detected by the detail factors. In the next section, we describe in detail the procedure of
applying factors of discrete wavelet transformations to estimating the selfsimilarity parameter.

4. USE OF WAVELET TRANSFORMATION IN ESTIMATING

SELFSIMILARITY PARAMETER
The algorithm used in estimating the Hurst parameter was considered for the first time in [10]. The
selfsimilarity of discrete string can be estimated by measuring capacity Dj of the set of detail factors for
considered scales, where j is the scale number, i.e., the level of discrete wavelet transformation. This
capacity is calculated using equation (3), and it grows exponentially with the growth in scale:
nj

Dj = 1
nj
∑d 2
j ,k , (3)
k =1
where dj, k is the detail factor of scale j with number k, and nj is the amount of these factors.
Figure 1 shows the dependence of log2Dj on number j. Each point on the plot characterizes the power
on the considered scale protracted along the x axis. If we approximate this dependence by a linear func
tion, we can find angle of inclination a of the straight line on the plot according to the following equation:
a = 2H – 1.
This equation makes it possible to estimate exponent H. Figure 1 shows this dependence for a random self
similar process following the Pareto principle at the given parameter H = 0.8.
Angle of inclination a can be estimated directly and efficiently by the least squares method. It is easy
to apply and is well suited for realtime estimation, because it makes it possible to recalculate the estimate
for the Hurst parameter for the running window, taking into account only the current rate of traffic
(number of packages) and the first value in this window without the need to recalculate for the entire win
dow. This is exactly why we do not consider other methods of estimating the straight line angle of inclina
tion.
According to the given description and equations, functions for Matlab were derived to perform dis
crete wavelet transformation of the process using the filter bank and to estimate parameter H. These func
tions also make it possible to average the Ĥ estimate for an indicated random number of scales J.

5. SIMULATION RESULTS
The simulation results were generalized in tables. One of these tables is given in part in Table 1 for H = 0.8.
Identical tables were obtained for average error Δ H . Then these tables were used to construct plots. In
these plots, the dependences of the average estimate of Ĥ and its absolute error Δ H are shown as a func
tion of the number of scales J of discrete wavelet transformation.
Analysis of the results allows us to see that at low (Fig. 2) and high (Fig. 4) set values of H, it is difficult
to accurately estimate it. At H = 0.8, however, the estimated parameter value reaches the set value rather
quickly already at J = 8, as shown in Fig. 3.

AUTOMATIC CONTROL AND COMPUTER SCIENCES Vol. 49 No. 5 2015

 HURST PARAMETER ESTIMATION BY WAVELET TRANSFORMATION 289

Table 1. Averaged estimate Ĥ for different segment lengths and numbers of scales
Number
Single flow segment length
of scales
1024 2048 4096 8192 16384 32768 65536 131072
3 0.8168 0.82 0.8221 0.8237 0.8244 0.8254 0.8255 0.8255
4 0.8082 0.8125 0.815 0.8168 0.8176 0.8186 0.8187 0.8188
5 0.7962 0.8031 0.8069 0.8093 0.8105 0.8117 0.8119 0.812
6 0.7803 0.7926 0.7996 0.8034 0.8053 0.8069 0.8072 0.8074
7 0.7576 0.7783 0.7909 0.7974 0.8006 0.803 0.8038 0.8041
8 0.7271 0.7571 0.7776 0.7892 0.7956 0.7999 0.8017 0.8025
9 0.73 0.758 0.7755 0.7867 0.794 0.7974 0.7994
10 0.7326 0.7569 0.7738 0.7859 0.7919 0.7962
11 0.7345 0.7572 0.774 0.7837 0.7912
12 0.7351 0.7572 0.7713 0.7824
13 0.7371 0.7558 0.7697
14 0.736 0.7527
15 0.7344

It should be noted that for H in the range 0.7 < H < 0.8, there are certain scales at which the estimation
error is minimal. At the same time, at H = 0.8, this range is wider (shown in Fig. 3, where the recorded
value is marked by a horizontal line). This means that use of the largest possible number of scales for a
given segment length does not always guarantee better results. To make estimate H more accurate for
longer segments, however, we need to choose more scales.
Then, we conducted an experiment in which parameter J was limited to a constant value for different
segment lengths. In this case, the dependence generally looks like the one in Fig. 5, whatever the set value
of H and segment length M.
The obtained result means that each value of J has an accuracy limit. Not only does a further increase
in accuracy require longer segments, but also a higher number of analyzed scales. It should be noted that
for this series of experiments, which was performed in duplicate, the difference in the limiting accuracy is insig
nificant (see Table 2). It gives us grounds to believe that this quantity does not depend much on a specific
realization of traffic.
For a more visual explanation of the behavior pattern of selfsimilar traffic depending on the simula
tion parameters, we present the results of estimating error ΔH as the difference between the values of the
Hurst parameter, set during simulation, and its estimate. Analysis of ΔH allows us to conclude that, start
ing from a certain segment value M0 and H = 0.8, the minimal value of the dependence of the error on J

0.86 0.95
0.94
0.84
0.93
H estimate
H estimate

0.82 0.92
0.91
0.80
0.90
0.78 0.89
0.76 0.88
2 4 6 8 10 12 14 16 18 2 4 6 8 10 12 14 16 18
Number of scales, J Number of scales, J

Fig. 3. Average estimate Ĥ for H = 0.8 for segment Fig. 4. Average estimate Ĥ for H = 0.95 for segment
length M = 221. length M = 221.

AUTOMATIC CONTROL AND COMPUTER SCIENCES Vol. 49 No. 5 2015

290 GRABS, PETERSONS

0.75 0.12
0.74
0.10
H estimate
0.73

ΔH
0.72 0.08
0.71
0.70 0.06
0.69 0.04
0.68 2 4 6 8 10 12 14 16 18
10 12 14 16 18 20 22 24 Number of scales, J
log2(M)

Fig. 5. Dependence of average estimate Ĥ on loga Fig. 6. Absolute error ΔH for H = 0.6 and segment
rithm of segment length M for H = 0.7 for number of length M = 221.
scales J = 7.

0.10 0.11
0.08 0.10
0.06 0.09

ΔH
ΔH

0.04 0.08
0.02 0.07
0 0.06
2 4 6 8 10 12 14 16 2 4 6 8 10 12 14 16 18 20
Number of scales, J Number of scales, J

Fig. 7. Absolute error ΔH for H = 0.8 and segment Fig. 8. Absolute error ΔH for H = 0.99 and segment
length M = 218. length M = 223.

is observed (Fig. 7). This dependence remains constant for other segment lengths M > M0. On the whole,
at H < 0.8, the error decreases (Fig. 6) and at H > 0.8, it increases (Fig. 8).
It should be noted that the behavior ΔH at a high value of H = 0.99 is inconsistent. Figures 8 and 9 show
ΔH in two different realizations of traffic for constant simulation parameters.

6. RESULTS OF SIMULATION FOR SELFSIMILAR ON–OFF TRAFFIC

The generation of selfsimilar traffic makes it possible to simulate its group properties, which manifest
themselves in real networks in the formation of package clusters followed by pauses. In the general case,
the distribution of gaps between packages and cluster/pause duration can be selected at random. In the
given series of simulations, the aboveconsidered model of traffic generation was expanded by adding two
amounts of time:

Table 2. Comparison of peak value of averaged estimate Ĥ

Peak experimental Ĥ
Preset value H Number of scales, J
experiment one experiment two
3 0.8255 0.8257
H = 0.8
7 0.8045 0.8051
3 0.876 0.8756
H = 0.9
7 0.8663 0.8661
3 0.9226 0.9232
H = 0.99
7 0.9124 0.913

AUTOMATIC CONTROL AND COMPUTER SCIENCES Vol. 49 No. 5 2015

 HURST PARAMETER ESTIMATION BY WAVELET TRANSFORMATION 291

0.08 • amount TON in which traffic is generated

according to the abovedescribed model;
0.07
0.06
• amount TOFF in which packages are not gener
ΔH

ated at all.
0.05
The duration of both processes is a random
0.04 process following the Pareto principle. At the same
0.03 time, the average values of both amounts are
2 4 6 8 10 12 14 16 18 20 defined with the help of known equations and then
Number of scales, J used to find Pareto principle parameters α and β.
At the same time, α is selected at random in the
Fig. 9. Absolute error ΔH for H = 0.99 and segment range 1 ≤ α ≤ 2, so that the random process has a
length M = 223 (test two). finite average value and infinite dispersion (in the
ory). In turn, β is calculated at the selected value of α.
0.40 The simulation allowed us to obtain files with a
0.35
flow, which were then processed in the program to
estimate H. The known preset value of this param
0.30
eter is used to calculate the average estimate and its
ΔH

0.25 absolute error as a function of the segment length

0.20 and number of scales. Then, tables are compiled,
0.15 for example, Table 1. This dependence can be
0.10 recorded in graph form on a 3D surface as shown in
0 2 15 20 Fig. 10 for H = 0.8.
4 5 10
×105 Segment, M 6 0
Scales, J
It follows from the plot in Fig. 10 that the abso
Fig. 10. Absolute error ΔH for H = 0.8 depending on lute error for the selfsimilar ON–OFF flow is
segment length M and number of scales J. greater than for the simple plot following the
Pareto principle. This is explained by the fact that
the estimate is also made according to pause inter
vals when the flow is virtually zero. This behavior of the plot affects the average estimate of the selfsimi
larity parameter and leads to poorer estimation accuracy.

7. CONCLUSIONS
Analysis of the experimental results confirms that wavelet transformation is applicable for estimating
traffic selfsimilarity. In this paper, wavelet transformation is performed using filter banks. At the same
time, the average time of calculating discrete transformation per scale is 2 μs in Raspberry Pi. This method
of estimating the Hurst parameter can therefore be applied in real time, which we perceive to be the nov
elty of the study.
The accuracy of estimating the selfsimilarity parameter depends on its measured value. In the range
of 0.5 < H < 0.8, for example, the parameter estimate is overstated and approximates the actual value with
an increasing number of scales. In the range of 0.8 < H < 0.99, the opposite situation is observed, i.e., the
parameter estimate is understated. In addition, it has been found that for H ≈ 0.8, an accurate estimate is
achieved at a lower number of scales.
The calculation of discrete wavelet transformation is made using a filter bank, and it is possible to cal
culate this parameter in real time. This makes it possible to create the element for estimating the traffic
selfsimilarity parameter for realtime systems, which will process the flow according to its priority.
However, realtime systems have one important distinction that needs to be taken into account. The
behavior of traffic will continually change until the traffic becomes large in volume. In this case, the result
ing average estimate of the selfsimilarity parameter will not correspond to its actual value. At the same
time, analysis of the experiments does not allow us to state with certainty that increasing the traffic seg
ment length leads to better accuracy compared with analysis using shorter segments.

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Translated by S. Kuznetsov

SPELL: 1. OK

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