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

DOI10.1016/j.spa.2012.01.008zbMath1254.60035OpenAlexW2070876427MaRDI QIDQ424472

William P. McCormick, Philippe 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 trafficfractional Lévy stable processfractionally integrated autoregressive-moving average (FARIMA) process

Mathematics Subject Classification ID

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

Related Items

On \(1/f\) noise ⋮ The point process approach for fractionally differentiated random walks under heavy traffic

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