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

Date Issued
2018-06-12Publisher Version
10.3150/18-BEJ1044Author(s)
Grahovac, Danijel
Leonenko, Nikolai N.
Sikorskii, Anna
Taqqu, Murad S.
Metadata
Show full item recordPermanent Link
https://hdl.handle.net/2144/39131Version
Accepted manuscript
Citation (published version)
Danijel Grahovac, Nikolai N Leonenko, Anna Sikorskii, Murad S Taqqu. 2018. "The unusual properties of aggregated superpositions of Ornstein-Uhlenbeck type processes." Bernoulli, Volume 25, Number 3 (2019), 2029-2050. https://doi.org/10.3150/18-BEJ1044Abstract
Superpositions of Ornstein-Uhlenbeck type (supOU) processes form a rich class of stationary processes with a flexible 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.
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