Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1155684 | Stochastic Processes and their Applications | 2012 | 26 Pages |
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.
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Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Ph. Barbe, W.P. McCormick,