Convergence of scaled renewal processes and a packet arrival model

被引:43
作者
Gaigalas, R [1 ]
Kaj, I [1 ]
机构
[1] Uppsala Univ, Dept Math, S-75106 Uppsala, Sweden
关键词
fractional Brownian motion; heavy tails; long-range dependence; renewal processes; weak convergence;
D O I
10.3150/bj/1066223274
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
We study the superposition process of a class of independent renewal processes with long-range dependence. It is known that under two different scalings in time and space either fractional Brownian motion or a stable Levy process may arise in the rescaling asymptotic limit. It is shown here that in a third, intermediate scaling regime a new limit process appears, which is neither Gaussian nor stable. The new limit process is characterized by its cumulant generating function and some of its properties are discussed.
引用
收藏
页码:671 / 703
页数:33
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