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The unusual properties of aggregated superpositions of Ornstein-Uhlenback type processes

Grahovac, Danijel, Leonenko, Nikolai, Sikorskii, Alla and Taqqu, Murad S. 2019. The unusual properties of aggregated superpositions of Ornstein-Uhlenback type processes. Bernoulli 25 (361) , pp. 2029-2050.

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Abstract

Superpositions of Ornstein-Uhlenbeck type (supOU) processes form a rich class of stationary processes with a exible dependence structure. The asymptotic behavior of the integrated and partial sum supOU processes can be, however, unusual. Their cumulants and moments turn out to have an unexpected rate of growth. We identify the property of fast growth of moments or cumulants as intermittency. Many proofs are given in a supplemental article [21].

Item Type: Article
Date Type: Publication
Status: Published
Schools: Mathematics
Publisher: Bernoulli Society for Mathematical Statistics and Probability
ISSN: 1350-7265
Date of First Compliant Deposit: 9 May 2018
Date of Acceptance: 3 May 2018
Last Modified: 03 Jul 2019 09:47
URI: http://orca.cf.ac.uk/id/eprint/111214

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