This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.
Abstract Details
Activity Number:
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176
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Type:
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Contributed
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Date/Time:
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Monday, August 2, 2010 : 10:30 AM to 12:20 PM
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Sponsor:
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IMS
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Abstract - #307664 |
Title:
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Invariance Principles for Some FARIMA and Nonstationary Linear Processes in the Domain of a Stable Distribution
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Author(s):
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William Peter McCormick*+
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Companies:
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The University of Georgia
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Address:
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Statistics Department, Athens, GA, 30602,
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Keywords:
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invariance principle ;
stable distribution ;
FARIMA ;
fractional Levy processes ;
heavy traffic
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Abstract:
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We prove invariance principles for processes which generalize FARIMA processes, when the innovations are in the domain of attraction of a nonGaussian stable distribution. The limiting processes are extensions of fractional Levy processes. The technique used extends the idea of splitting a sample into a central part and an extreme one, analyzing each part with different techniques, and then combining the results. Application is made to solving a tail area problem for the maximum of a random walk under heavy traffic conditions.
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Authors who are presenting talks have a * after their name.
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