uu.seUppsala University Publications
Change search
ReferencesLink to record
Permanent link

Direct link
A Poisson bridge between fractional Brownian motion and stable Lévy motion
Uppsala University, Teknisk-naturvetenskapliga vetenskapsområdet, Mathematics and Computer Science, Department of Mathematics.
Manuscript (Other academic)
URN: urn:nbn:se:uu:diva-91343OAI: oai:DiVA.org:uu-91343DiVA: diva2:164042
Available from: 2004-02-04 Created: 2004-02-04 Last updated: 2010-01-13Bibliographically approved
In thesis
1. A Non-Gaussian Limit Process with Long-Range Dependence
Open this publication in new window or tab >>A Non-Gaussian Limit Process with Long-Range Dependence
2004 (English)Doctoral thesis, comprehensive summary (Other academic)
Abstract [en]

This thesis, consisting of three papers and a summary, studies topics in the theory of stochastic processes related to long-range dependence. Much recent interest in such probabilistic models has its origin in measurements of Internet traffic data, where typical characteristics of long memory have been observed. As a macroscopic feature, long-range dependence can be mathematically studied using certain scaling limit theorems.

Using such limit results, two different scaling regimes for Internet traffic models have been identified earlier. In one of these regimes traffic at large scales can be approximated by long-range dependent Gaussian or stable processes, while in the other regime the rescaled traffic fluctuates according to stable ``memoryless'' processes with independent increments. In Paper I a similar limit result is proved for a third scaling scheme, emerging as an intermediate case of the other two. The limit process here turns out to be a non-Gaussian and non-stable process with long-range dependence.

In Paper II we derive a representation for the latter limit process as a stochastic integral of a deterministic function with respect to a certain compensated Poisson random measure. This representation enables us to study some further properties of the process. In particular, we prove that the process at small scales behaves like a Gaussian process with long-range dependence, while at large scales it is close to a stable process with independent increments. Hence, the process can be regarded as a link between these two processes of completely different nature.

In Paper III we construct a class of processes locally behaving as Gaussian and globally as stable processes and including the limit process obtained in Paper I. These processes can be chosen to be long-range dependent and are potentially suitable as models in applications with distinct local and global behaviour. They are defined using stochastic integrals with respect to the same compensated Poisson random measure as used in Paper II.

Place, publisher, year, edition, pages
Uppsala: Matematiska institutionen, 2004. 30 p.
Uppsala Dissertations in Mathematics, ISSN 1401-2049 ; 33
Mathematical statistics, long-range dependence, traffic modelling, arrival process, self-similarity, heavy tails, fractional Brownian motion, stable processes, renewal processes, independently scattered random measure, weak convergence, 60F17, 60G18, (90B18, 60K05), Matematisk statistik
National Category
Probability Theory and Statistics
urn:nbn:se:uu:diva-3993 (URN)91-506-1738-9 (ISBN)
Public defence
2004-02-27, 1311, Polacksbacken, Hus 1, Uppsala, 10:15
Available from: 2004-02-04 Created: 2004-02-04Bibliographically approved

Open Access in DiVA

No full text

By organisation
Department of Mathematics

Search outside of DiVA

GoogleGoogle Scholar
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Total: 209 hits
ReferencesLink to record
Permanent link

Direct link