DEPENDENCE STRUCTURE OF A RENEWAL-REWARD PROCESS WITH INFINITE VARIANCE
Joshua B. Levy, Murad S. Taqqu · Fractals · 2001
The on-off renewal-reward process used to explain long-range dependence in Ethernet traffic can be extended to the case where, not only the inter-renewal times but also the rewards have infinite variance. The covariation and the codifference, which generalize the covariance to the infinite variance case, are computed for the limiting process. It is shown that they decay like a power function. The exponent of that power is the same as for fractional stable noise, even though the increments of the limiting process are different from fractional stable noise.