Grahovac, Danijel, Leonenko, Nikolai N. ![]() ![]() |
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Official URL: https://doi.org/10.1214/21-EJP623
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 |
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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 |
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