Heavy-traffic approximations for fractionally integrated random walks in the domain of attraction of a non-Gaussian stable distribution

DOI10.1016/J.SPA.2012.01.008zbMATH Open1254.60035OpenAlexW2070876427MaRDI QIDQ424472FDOQ424472

W. P. McCormick, Ph. 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

zbMATH Keywords

heavy traffic[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=fractional+L%EF%BF%BD%EF%BF%BDvy+stable+process&go=Go fractional L��vy stable process]fractionally integrated autoregressive-moving average (FARIMA) process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Extreme value theory; extremal stochastic processes (60G70) Fractional processes, including fractional Brownian motion (60G22) Queueing theory (aspects of probability theory) (60K25) Functional limit theorems; invariance principles (60F17) Stable stochastic processes (60G52)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Heavy-Tail Phenomena
• Stochastic-Process Limits
• A large deviation principle with queueing applications
• The growth of random walks and Levy processes
• Big queues.
• Invariance of Poisson measures under random transformations
• Linear bounds on the empirical distribution function
• Conditional limit theorems for queues with Gaussian input, a weak convergence approach
• Tail probabilities of subadditive functionals of Lévy processes.
• Moment identities for Poisson-Skorohod integrals and application to measure invariance
• Normal and stable convergence of integral functions of the empirical distribution function
• On the estimation of extreme tail probabilities
• Invariance principles for some FARIMA and nonstationary linear processes in the domain of a stable distribution
• A Unified Approach to the Heavy-Traffic Analysis of the Maximum of Random Walks

Cited In (3)

• The point process approach for fractionally differentiated random walks under heavy traffic
• On \(1/f\) noise
• Fractional Brownian Motion withH< 1/2 as a Limit of Scheduled Traffic

This page was built for publication: Heavy-traffic approximations for fractionally integrated random walks in the domain of attraction of a non-Gaussian stable distribution

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q424472)