Weak convergence of renewal shot noise processes in the case of slowly varying normalization

DOI10.1016/J.SPL.2016.03.015zbMATH Open1337.60021arXiv1507.02526OpenAlexW2963186811MaRDI QIDQ277276FDOQ277276

Authors: Zakhar Kabluchko, Alexander Marynych, Alexander Iksanov 

Publication date: 4 May 2016

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: We investigate weak convergence of finite-dimensional distributions of a renewal shot noise process $(Y(t){)}_{tgeq0}$ with deterministic response function $h$ and the shots occurring at the times $0=S_0<S_1<S_2<ldots$, where $(S_n)$ is a random walk with i.i.d. jumps. There has been an outbreak of recent activity around this topic. We are interested in one out of few cases which remained open: $h$ is regularly varying at $infty$ of index $-1/2$ and the integral of $h^2$ is infinite. Assuming that $S_1$ has a moment of order $r>2$ we use a strong approximation argument to show that the random fluctuations of $Y(s)$ occur on the scale $s=t+g(t,u)$ for $uin[0,1]$, as $toinfty$, and, on the level of finite-dimensional distributions, are well approximated by the sum of a Brownian motion and a Gaussian process with independent values (the two processes being independent). The scaling function $g$ above depends on the slowly varying factor of $h$. If, for instance, $li{m}_{toinfty}{t}^{1/2}h(t)in(0,infty)$, then $g(t,u)=t^u$.

Full work available at URL: https://arxiv.org/abs/1507.02526

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zbMATH Keywords

random walkGaussian processesweak convergenceBrownian motionrenewal shot noise processesslowly varying functions

Mathematics Subject Classification ID

Gaussian processes (60G15) Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50) Brownian motion (60J65) Rate of growth of functions, orders of infinity, slowly varying functions (26A12) Renewal theory (60K05)

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Cited In (9)

• Stationary limits of shot noise processes
• Weak convergence of renewal shot noise processes in the case of slowly varying normalization
• A functional limit theorem for random processes with immigration in the case of heavy tails
• A functional limit theorem for general shot noise processes
• Fractionally integrated inverse stable subordinators
• Renewal shot noise processes in the case of slowly varying tails
• Functional limit theorems for renewal shot noise processes with increasing response functions
• Normal convergence of multidimensional shot noise and rates of this convergence
• Weak convergence of random processes with immigration at random times

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