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

Barbe, Ph.; McCormick, W.P. - In: Stochastic Processes and their Applications 122 (2012) 12, pp. 4028-4053

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...

Persistent link: https://www.econbiz.de/10010875077

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

Barbe, Ph.; McCormick, W.P. - In: Stochastic Processes and their Applications 122 (2012) 4, pp. 1276-1303

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.

Persistent link: https://www.econbiz.de/10010577836