Grahovac, DanijelLeonenko, Nikolai N.Taqqu, Murad S.2019-08-302019-08-30Danijel Grahovac, Nikolai N Leonenko, Murad S Taqqu. "Intermittency and infinite variance: the case of integrated supOU processes."https://hdl.handle.net/2144/37593SupOU 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.StatisticsStatistics & probabilityMathematicssupOU processesOrnstein-Uhlenbeck processAbsolute momentsArticle0000-0002-1145-9082 (Taqqu, Murad S)457805