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

DOI10.1016/J.SPA.2012.01.008MaRDI QIDQ424472zbMATH OpenOpenAlexFDO

Authors 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 trafficfractionally integrated autoregressive-moving average (FARIMA) processfractional Lévy stable 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)

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• Stochastic-Process Limits
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• The growth of random walks and Levy processes

Cited in

(5)

• Weighted sums of i.i.d. random variables attracted to integrals of stable processes
• The point process approach for fractionally differentiated random walks under heavy traffic
• Invariance principles for some FARIMA and nonstationary linear processes in the domain of a stable distribution
• On \(1/f\) noise
• Fractional Brownian Motion withH< 1/2 as a Limit of Scheduled Traffic

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