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

We prove some heavy-traffic limit theorems for processes which encompass the fractionally integrated random walk as well as some FARIMA processes, when the innovations are in the domain of attraction of a non-Gaussian stable distribution.

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Year of publication:	2012
Authors:	Barbe, Ph. ; McCormick, W.P.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 122.2012, 4, p. 1276-1303
Publisher:	Elsevier
Subject:	Heavy traffic \| Ruin probability \| Fractional random walk \| FARIMA process \| Fractional Lévy stable process

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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