Title of article :
Heavy-traffic approximations for fractionally integrated random walks in the domain of attraction of a non-Gaussian stable distribution
Author/Authors :
Barbe، نويسنده , , Ph. and McCormick، نويسنده , , W.P.، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2012
Abstract :
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.
Keywords :
Ruin probability , Heavy traffic , FARIMA process , Fractional Lévy stable process , Fractional random walk
Journal title :
Stochastic Processes and their Applications
Journal title :
Stochastic Processes and their Applications
