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

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    Date Issued
    2018-06-12
    Publisher Version
    10.3150/18-BEJ1044
    Author(s)
    Grahovac, Danijel
    Leonenko, Nikolai N.
    Sikorskii, Anna
    Taqqu, Murad S.
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    Permanent Link
    https://hdl.handle.net/2144/39131
    Version
    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-BEJ1044
    Abstract
    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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    • CAS: Mathematics & Statistics: Scholarly Papers [263]
    • BU Open Access Articles [3664]


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