Article ID Journal Published Year Pages File Type
1155684 Stochastic Processes and their Applications 2012 26 Pages PDF
Abstract
We prove some heavy-traffic limit theorems for some nonstationary linear processes which encompass the fractionally differentiated random walk as well as some FARIMA processes, when the innovations are in the domain of attraction of a non-Gaussian stable distribution. The results are based on an extension of the point process methodology to linear processes with nonsummable coefficients and make use of a new maximal type inequality.
Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
Authors
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