Heavy-traffic approximations for fractionally integrated random walks in the domain of attraction of a non-Gaussian stable distribution
DOI10.1016/j.spa.2012.01.008zbMath1254.60035MaRDI QIDQ424472
William P. McCormick, Philippe Barbe
Publication date: 1 June 2012
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2012.01.008
heavy traffic; fractional Lévy stable process; fractionally integrated autoregressive-moving average (FARIMA) process
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60G22: Fractional processes, including fractional Brownian motion
60G70: Extreme value theory; extremal stochastic processes
60K25: Queueing theory (aspects of probability theory)
60G52: Stable stochastic processes
60F17: Functional limit theorems; invariance principles
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