Multivariate limits of multilinear polynomial-form processes with long memory

Multivariate modelling of long memory processes with common components

COVARIANCE MATRIX OF MULTIVARIATE REWARD PROCESSES WITH NONLINEAR REWARD FUNCTIONS

Multivariate reward processes with reward functions of constant rates, defined on a semi-Markov process, first were studied by Masuda and Sumita, 1991. Reward processes with nonlinear reward functions were introduced in Soltani, 1996. In this work we study a multivariate process , , where are reward processes with nonlinear reward functions respectively. The Laplace transform of the covar...

Asymptotic Behavior of Multivariate Reward Processes with Nonlinear Reward Functions

J ul 2 00 6 Polynomial Cointegration among Stationary Processes with Long Memory ∗

In this paper we consider polynomial cointegrating relationships among stationary processes with long range dependence. We express the regression functions in terms of Hermite polynomials and we consider a form of spectral regression around frequency zero. For these estimates, we establish consistency by means of a more general result on continuously averaged estimates of the spectral density m...

On Scaling Limits of Arrival Processes with Long-Range Dependence

Various classes of arrival processes in telecommunication traffic modeling based on heavy-tailed interarrival time distributions exhibit long-range dependence. This includes arrival rate processes of Anick-MitraSondhi (AMS) type where the rate process is an on/off-process with heavy-tailed on-period distribution and/or off-period distribution, as well as generalized Kosten type models (infinite...