Heavy-traffic approximations for fractionally integrated random walks in the domain of attraction of a non-Gaussian stable distribution |
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| Authors: | Ph. Barbe W.P. McCormick |
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| Affiliation: | 1. CNRS (UMR 8088), 90 rue de Vaugirard, 75006 Paris, France;2. Department of Statistics, University of Georgia, Athens, GA 30602, USA |
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| 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. |
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| Keywords: | primary, 60F99 secondary, 60G52, 60G22, 60K25, 62M10, 60G70, 62P20 |
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