Invariance principles for some FARIMA and nonstationary linear processes in the domain of a stable distribution

DOI10.1007/s00440-011-0374-3zbMath1271.60050arXiv1007.0576OpenAlexW2055960958MaRDI QIDQ1934357

William P. McCormick, Philippe Barbe

Publication date: 28 January 2013

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1007.0576

zbMATH Keywords

fractional Brownian motioninvariance principleFARIMA processfractional Lévy processesnon-Gaussian stable distribution

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Sums of independent random variables; random walks (60G50) Stable stochastic processes (60G52) Functional limit theorems; invariance principles (60F17)

Related Items (3)

Heavy-traffic approximations for fractionally integrated random walks in the domain of attraction of a non-Gaussian stable distribution ⋮ The point process approach for fractionally differentiated random walks under heavy traffic ⋮ Tauberian theorems for matrix regular variation

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