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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
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Robustness for Inhomogeneous Poisson Point Processes
Assunção, Renato; Guttorp, Peter - In: Annals of the Institute of Statistical Mathematics 51 (1999) 4, pp. 657-678
Persistent link: https://www.econbiz.de/10005760264
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On Estimation of Poisson Intensity Functions
Helmers, Roelof; Zitikis, Ričardas - In: Annals of the Institute of Statistical Mathematics 51 (1999) 2, pp. 265-280
Persistent link: https://www.econbiz.de/10005169199
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On Rescaled Poisson Processes and the Brownian Bridge
Schoenberg, Frederic - In: Annals of the Institute of Statistical Mathematics 54 (2002) 2, pp. 445-457
Persistent link: https://www.econbiz.de/10005616155