Heavy-traffic approximations for fractionally integrated random walks in the domain of attraction of a non-Gaussian stable distribution (Q424472): Difference between revisions
From MaRDI portal
Created a new Item |
Changed an Item |
||
Property / review text | |||
Let \((X_i)_{i\geq 1}\) be a sequence of i.i.d. mean zero random variables having a distribution function \(F\). Set \(S_0=0\) and \(S_n=\sum_{0\leq i <n}g_iX_{n-i}\), \(n\in\mathbb{N}\), where the series \(g(x)=\sum_{i\geq 0}g_ix^i\) has a radius of convergence of at least \(1\). This \((g,F)\)-process \((S_n)_{n\geq 0}\) comprises, e.g., an autoregressive moving average (ARMA) one. Under specified conditions (among them \(g_n =cn^{\gamma -1}(1+o(n^{-\varepsilon}))\) as \(n\to \infty\) for some \(c,\varepsilon >0\) and \(\gamma >1\); \(F\) is in the domain of attraction of a stable law of index \(\alpha\)), one can prove that appropriately normalized \(\sup_{n\geq 1}(S_n - a\sum_{0\leq i<n}g_i)\) converges weakly as \(a\to 0\) to a certain random variable defined by means of a fractional Lévy stable process. | |||
Property / review text: Let \((X_i)_{i\geq 1}\) be a sequence of i.i.d. mean zero random variables having a distribution function \(F\). Set \(S_0=0\) and \(S_n=\sum_{0\leq i <n}g_iX_{n-i}\), \(n\in\mathbb{N}\), where the series \(g(x)=\sum_{i\geq 0}g_ix^i\) has a radius of convergence of at least \(1\). This \((g,F)\)-process \((S_n)_{n\geq 0}\) comprises, e.g., an autoregressive moving average (ARMA) one. Under specified conditions (among them \(g_n =cn^{\gamma -1}(1+o(n^{-\varepsilon}))\) as \(n\to \infty\) for some \(c,\varepsilon >0\) and \(\gamma >1\); \(F\) is in the domain of attraction of a stable law of index \(\alpha\)), one can prove that appropriately normalized \(\sup_{n\geq 1}(S_n - a\sum_{0\leq i<n}g_i)\) converges weakly as \(a\to 0\) to a certain random variable defined by means of a fractional Lévy stable process. / rank | |||
Normal rank | |||
Property / reviewed by | |||
Property / reviewed by: Alexander V. Bulinski / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60F17 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60G52 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60G22 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60K25 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 62M10 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60G70 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 62P20 / rank | |||
Normal rank | |||
Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6040284 / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
heavy traffic | |||
Property / zbMATH Keywords: heavy traffic / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
fractionally integrated autoregressive-moving average (FARIMA) process | |||
Property / zbMATH Keywords: fractionally integrated autoregressive-moving average (FARIMA) process / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
fractional Lévy stable process | |||
Property / zbMATH Keywords: fractional Lévy stable process / rank | |||
Normal rank |
Revision as of 22:26, 29 June 2023
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Heavy-traffic approximations for fractionally integrated random walks in the domain of attraction of a non-Gaussian stable distribution |
scientific article |
Statements
Heavy-traffic approximations for fractionally integrated random walks in the domain of attraction of a non-Gaussian stable distribution (English)
0 references
1 June 2012
0 references
Let \((X_i)_{i\geq 1}\) be a sequence of i.i.d. mean zero random variables having a distribution function \(F\). Set \(S_0=0\) and \(S_n=\sum_{0\leq i <n}g_iX_{n-i}\), \(n\in\mathbb{N}\), where the series \(g(x)=\sum_{i\geq 0}g_ix^i\) has a radius of convergence of at least \(1\). This \((g,F)\)-process \((S_n)_{n\geq 0}\) comprises, e.g., an autoregressive moving average (ARMA) one. Under specified conditions (among them \(g_n =cn^{\gamma -1}(1+o(n^{-\varepsilon}))\) as \(n\to \infty\) for some \(c,\varepsilon >0\) and \(\gamma >1\); \(F\) is in the domain of attraction of a stable law of index \(\alpha\)), one can prove that appropriately normalized \(\sup_{n\geq 1}(S_n - a\sum_{0\leq i<n}g_i)\) converges weakly as \(a\to 0\) to a certain random variable defined by means of a fractional Lévy stable process.
0 references
heavy traffic
0 references
fractionally integrated autoregressive-moving average (FARIMA) process
0 references
fractional Lévy stable process
0 references