IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v122y2012i12p4028-4053.html
   My bibliography  Save this article

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

Author

Listed:
  • Barbe, Ph.
  • McCormick, W.P.

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.

Suggested Citation

  • Barbe, Ph. & McCormick, W.P., 2012. "The point process approach for fractionally differentiated random walks under heavy traffic," Stochastic Processes and their Applications, Elsevier, vol. 122(12), pages 4028-4053.
  • Handle: RePEc:eee:spapps:v:122:y:2012:i:12:p:4028-4053
    DOI: 10.1016/j.spa.2012.08.008
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0304414912001755
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Barbe, Ph. & McCormick, W.P., 2012. "Heavy-traffic approximations for fractionally integrated random walks in the domain of attraction of a non-Gaussian stable distribution," Stochastic Processes and their Applications, Elsevier, vol. 122(4), pages 1276-1303.
    Full references (including those not matched with items on IDEAS)

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:122:y:2012:i:12:p:4028-4053. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.