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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
来源:
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.
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页码:671 / 703
页数:33
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