1 farima(p,d,q) model and application n farima models -- fractional autoregressive integrated moving...
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FARIMA(p,d,q) Model and Application
FARIMA Models
-- fractional autoregressive integrated moving average
Generating FARIMA Processes Traffic Modeling Using FARIMA Models Traffic Prediction Using FARIMA Models Prediction-based Admission Control Prediction-based Bandwidth Allocation
2
Self-similar feature of traffic Fractal characteristics
order of dimension = fractal Self-similar feature
across wide range of time scales Burstness: across wide range of time scales Long-range dependence
ACF (autocorrelation function) Power law spectral density Hurst (self-similarity) parameter 0.5<H<1
[LTWW94] Will E. Leland, Murad S. Taqqu, Walter Willinger, and Daniel V. Wilson, “On the Self-Similar Nature of Ethernet Traffic (Extended Version),” IEEE/ACM Transactions on Networking. Vol 2, No 1, February 1994.
A FARIMA(p,d,q) process {Xt: t =...,-1, 0,
1,...} is defined to be
(2-1)
where {at} is a white noise and d (-0.5, 0.5),
(2-2)
B -- backward-shift operator, BXt = Xt-1
FARIMA Models
,)()(tt
d aBXB
21 2( ) 1 ,ppB B B B
,1)( 221
qqBBBB
,)()1(0
k
kdd BkdB
FARIMA Models (Cont.)
For d (0, 0.5), p 0 and q 0, a FARIMA(p,d,q) process can be regarded as an ARMA(p,q) process driven by FDN. From (2-1), we obtain
(2-3)where
(2-4)
Here, Yt is a FDN (fractionally differenced noise) --FARIMA(0,d,0)
,)()(1
ttYBBX
.t
d
taY
Direct definition method:
- step1: Generating a FDN Yt using (2-4).
- step2: Generating a FARIMA(p,d,q) process Xt
using (2-3). Another method, by Hosking:
- step1: Generating a FDN Yt using Hosking
algorithm.
- step2: Generating a FARIMA(p,d,q) process Xt
using (2-3).
Generating FARIMA Process for Model-driven Simulation
Table 1: H and d of generated FARIMA(0,d,0) and after fractional differencing
FARIMA(0,d,0)
Definition algorithm Hosking algorithm
after fractionaldifferencingtarget
parameterd H d H d H d
0.1 0.614 0.114 0.613 0.113 0.521 0.021
0.2 0.721 0.221 0.714 0.214 0.540 0.040
0.3 0.819 0.319 0.821 0.321 0.537 0.037
0.4 0.924 0.424 0.911 0.411 0.544 0.044
0.45 0.961 0.461 0.966 0.466 0.543 0.043
Verification Experiments
7
Network delay on FARIMA models
8
Network delay on FARIMA models with non-Gaussian distribution
Building a FARIMA(p,d,q) Model to Describe a Trace
For a given time series Xt, we can obtain from (2-1)
( 3-1 )
where
( 3-2 )• Fractional differencing
• Using the known ways for fitting ARMA models
td
t XW
tt aBBW )()(1
Building a FARIMA(p,d,q) Model to Describe a Trace(Cont.)
Steps of Fitting Traffic:
Step 1: Pre-processing the measured traffic trace to get a
zero-mean time series Xt .
Step 2: Obtaining an approximate value of d according to the relationship d = H - 0.5.
Three method to obtain H:
- Variance-time plots
- R/S analysis
- Periodogram-based method
Building a FARIMA(p,d,q) Model to Describe a Trace(Cont.)
Step 3: Doing fractional differencing on Xt .
From (2-4) we can get the precise expression
(3-3)
where
(3-4)
Step 4: Model identification: Determining p and q using known ways for fitting ARMA models.
Step 5: Model estimation: Estimating parameters (1+ p + q): d, ,
00
)(j
jtjtk
kt
dt XXBk
dXW
)1()1(
)1()1(
jdj
dj
j
1 2, , p 1 2, , q
Feasibility Study
Constructing FARIMA Models for Actual Traffic:
Traces C1003 and C1008 from CERNET
(The Chinese Education and Research
Network)
Traces pAug.TL and pOct.TL from Bellcore
Lab
Table 1: Fitted FARIMA models of CERNET and Bellcore traces
FARIMA(p,d,q) model parameterstrace
p 1 d q
1
PAug.TL 1 -0.1714523 0.2949911 1 -0.3738780
pOct.TL 1 -0.1511854 0.2520007 1 -0.2518229
C1003 1 0.3040983 0.1978055 0
C1008 1 -0.0439937 0.1834420 0
Feasibility Study (Cont.)
Simplification Methods of Modeling
Feasibility Study (Cont.)
Fixed order (sample about 100s) Simplifying the modeling procedure
ExperimentsFARIMA(p,d,q) model parametersData set
p 1 d q
1
Aug1 1 -0.1714523 0.2949911 1 -0.373878
Aug2 1 -0.1143173 0.2783244 1 -0.305762
Aug3 1 -0.1853628 0.3515382 1 -0.329502
Aug4 1 -0.1763141 0.2813467 1 -0.306262
Aug5 1 -0.1599587 0.2995875 1 -0.280055
Conclusions of Building FARIMA Model Building a FARIMA model to the actual traffic
trace
Reduce the time of traffic modeling, techniques
included
- fractal de-filter (fractional differencing)
- a combination of rough estimation and accurate
estimation
- backward-prediction
Prediction
Using FARIMA Models to Forecast Time Series -- optimal forecasting
Assumptions of causality and invertibility allow us to write
, where
0jjtjt aX
0jjtjt Xa
d
jj BBB j
)()( 1
0
d
jj BBB j
)()( 1
0
Prediction (Cont.)Minimum mean square error forecasts (h-step)
where
The mean squared error of the h-step forecast
1
)( ˆ)(ˆj
jhthjt XhX
1 ,)(1
11
)(
hih
j
h
iihj
hj jj )1(
1
0
2222 ))(ˆ()(ˆh
jjthtt hXXEh
Prediction for Actual Traffic
Feasibility Study
the h-step forecasts , FARIMA(1,d,1) vs. AR(4)
0
1
2
3
4
5
6
7
8
9
1
Time
Fore
cast
Valu
es
Trace
FARIMA Forecasts
AR Forecasts
Mean
t-50 t+50t t+100t-100
Prediction for Actual Traffic (Cont.)
Feasibility Study (Cont.)
one-step forecasts vs. actual values, time unit = 0.1s
0
10
20
30
40
50
60
70
80
1 11 21 31 41 51 61 71 81 91
Time Unit = 0.1 Second
Packets
/Tim
e U
nit
Trace
Forecasts
68% Limits
80706050403020 10090100
Traffic Prediction
adapted h-step forecast by adding a bias
where
et(h) the forecast errors, and u the upper probability limit.
utut hXhX )(ˆ)(ˆ
10.5 ,](h)P[ uue ut
Traffic Prediction (Cont.)
Adaptive traffic prediction of traceNormal confident interval
forecast error <= t(1)when probability limit = 0.6826 (~32%)
forecast error <= 2t(1)when probability limit = 0.9545 (~4.5%)
Adapted confident interval bias u = 0 when u = 0.5bias u = t(1) when u = 0.8413 (~16%)bias u = 2t(1) when u = 0.97725 (~2%)
Traffic Prediction Procedure
Step1: Building a FARIMA(p,d,q) model to describe the
traffic.
Step2: Doing minimum mean square error forecasts.
Step3: Determining the value of upper probability limit u according to the QoS necessary in the
particular network.
Step4: Doing traffic predictions by the adapted prediction method with upper probability
limit.
Prediction for Actual Traffic Example
Adaptive traffic prediction of trace, time unit = 0. 1s
0
10
20
30
40
50
60
70
80
90
100
1 11 21 31 41 51 61 71 81 91
Time Unit = 0.1 Second
Packets
/Tim
e U
nit
Trace
Forecasts
84%, 98% Upper Limits
80706050403020 10090100
Conclusions
FARIMA(p,d,q) models are more superior than other models in capturing the properties of real traffic
Less parameters required
Possible to simplify the fitting procedure and reduce the modeling time
Good result of adapted traffic prediction for real traffic