The point process approach for fractionally differentiated random walks under heavy traffic

DOI10.1016/j.spa.2012.08.008zbMath1264.60026MaRDI QIDQ713216

Philippe Barbe, William P. McCormick

Publication date: 26 October 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.2012.08.008

zbMATH Keywords

heavy traffic; point process; Poisson process; FARIMA process; fractional random walk

Mathematics Subject Classification ID

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

60G50: Sums of independent random variables; random walks

60K25: Queueing theory (aspects of probability theory)

60G52: Stable stochastic processes

60F99: Limit theorems in probability theory

Cites Work

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