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Intermittency and infinite variance: the case of integrated supOU processes

Grahovac, Danijel, Leonenko, Nikolai N. 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

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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: 04 May 2021 08:38

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