The point process approach for fractionally differentiated random walks under heavy traffic

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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Year of publication:	2012
Authors:	Barbe, Ph. ; McCormick, W.P.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 122.2012, 12, p. 4028-4053
Publisher:	Elsevier
Subject:	Heavy traffic \| Point process \| Supremum functional \| Fractional random walk \| FARIMA process \| Poisson process

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

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