Department of Statistics Unitmark
Dietrich College of Humanities and Social Sciences

Class of Models for Aggregated Traffic Volume Time Series

Publication Date

August, 2002

Publication Type

Tech Report


A. E. Brockwell, N.H. Chan, and P.K. Lee


Two time series are considered in this paper: one is the volume of hard disk activity, aggregated into half-hour periods, measured on a workstation, and the other is the volume of internet requests made to a workstation. Both of these time series exhibit features typical of network traffic data, namely, strong seasonal components and highly non-Gaussian distributions. For these time series, a particular class of nonlinear state-space models is proposed, and practical techniques for model-fitting and forecasting are demonstrated.