Intermittency and infinite variance: the case of integrated supOU processes

Grahovac, Danijel, Leonenko, Nikolai N. ORCID: https://orcid.org/0000-0003-1932-4091 and Taqqu, Murad S. 2021. Intermittency and infinite variance: the case of integrated supOU processes. Electronic Journal of Probability 26 , pp. 1-31. 10.1214/21-EJP623

Preview

PDF - Published Version Available under License Creative Commons Attribution. Download (522kB) | Preview

Abstract

SupOU processes are superpositions of Ornstein-Uhlenbeck type processes with a random intensity parameter. They are stationary processes whose marginal distribution and dependence structure can be specified independently. Integrated supOU processes have then stationary increments and satisfy central and non-central limit theorems. Their moments, however, can display an unusual behavior known as “intermittency”. We show here that intermittency can also appear when the processes have a heavy tailed marginal distribution and, in particular, an infinite variance.

Item Type:	Article
Date Type:	Published Online
Status:	Published
Schools:	Mathematics
Publisher:	Institute of Mathematical Statistics (IMS): OAJ / Institute of Mathematical Statistics
ISSN:	1083-6489
Date of First Compliant Deposit:	22 April 2021
Date of Acceptance:	3 April 2021
Last Modified:	05 May 2023 01:01
URI:	https://orca.cardiff.ac.uk/id/eprint/140670

Citation Data

Cited 2 times in Scopus. View in Scopus. Powered By Scopus® Data

Actions (repository staff only)

Edit Item