The unusual properties of aggregated superpositions of Ornstein-Uhlenbeck type processes
Files
Accepted manuscript
Date
2018-06-12
Authors
Grahovac, Danijel
Leonenko, Nikolai N.
Sikorskii, Anna
Taqqu, Murad S.
Version
Accepted manuscript
OA Version
Citation
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.