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

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

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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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Cited In (4)

• 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
• On \(1/f\) noise
• Fractional Brownian Motion withH< 1/2 as a Limit of Scheduled Traffic

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