Show simple item record

dc.contributor.authorGrahovac, Danijelen_US
dc.contributor.authorLeonenko, Nikolai N.en_US
dc.contributor.authorTaqqu, Murad S.en_US
dc.date2018-06-26
dc.date.accessioned2020-01-17T18:33:09Z
dc.date.available2020-01-17T18:33:09Z
dc.identifierhttp://arxiv.org/abs/1806.09811v2
dc.identifier.citationDanijel Grahovac, Nikolai N Leonenko, Murad S Taqqu. "The multifaceted behavior of integrated supOU processes: The infinite variance case."
dc.identifier.urihttps://hdl.handle.net/2144/39117
dc.description.abstractThe so-called "supOU" processes, namely the superpositions of Ornstein-Uhlenbeck type processes are stationary processes for which one can specify separately the marginal distribution and the dependence structure. They can have finite or infinite variance. We study the limit behavior of integrated infinite variance supOU processes adequately normalized. Depending on the specific circumstances, the limit can be fractional Brownian motion but it can also be a process with infinite variance, a L\'evy stable process with independent increments or a stable process with dependent increments. We show that it is even possible to have infinite variance integrated supOU processes converging to processes whose moments are all finite. A number of examples are provided.en_US
dc.language.isoen_US
dc.subjectSupOU processesen_US
dc.subjectOrnstein-Uhlenbeck processen_US
dc.subjectLimit theoremsen_US
dc.subjectInfinite varianceen_US
dc.subjectStable processesen_US
dc.titleThe multifaceted behavior of integrated supOU processes: the infinite variance caseen_US
dc.typeArticleen_US
dc.description.versionAccepted manuscripten_US
pubs.elements-sourcearxiven_US
pubs.notesarXiv admin note: text overlap with arXiv:1904.00100en_US
pubs.notesEmbargo: Not knownen_US
pubs.organisational-groupBoston Universityen_US
pubs.organisational-groupBoston University, College of Arts & Sciencesen_US
pubs.organisational-groupBoston University, College of Arts & Sciences, Department of Mathematics & Statisticsen_US
dc.identifier.orcid0000-0002-1145-9082 (Taqqu, Murad S)
dc.identifier.mycv394011


This item appears in the following Collection(s)

Show simple item record