We study the superposition process of a class of independent renewal processes with longrange dependence. It is known that under two different scalings in time and space either fractional Brownian motion or a stable Lévy 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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Gaigalas et al. (2003) studied this question.
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