Naslov
Limit theorems, scaling of moments and intermittency for integrated finite variance supOU processes

Autori
Grahovac, Danijel ; Leonenko, Nikolai N. ; Taqqu, Murad S.

Izvornik
Stochastic processes and their applications (0304-4149) 129 (2019), 12; 5113-5150

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
supOU processes ; limit theorems ; intermittency

Sažetak
Superpositions of Ornstein–Uhlenbeck type (supOU) processes provide a rich class of stationary stochastic processes for which the marginal distribution and the dependence structure may be modeled independently. We show that they can also display intermittency, a phenomenon affecting the rate of growth of moments. To do so, we investigate the limiting behavior of integrated supOU processes with finite variance. After suitable normalization four different limiting processes may arise depending on the decay of the correlation function and on the characteristic triplet of the marginal distribution. To show that supOU processes may exhibit intermittency, we establish the rate of growth of moments for each of the four limiting scenarios. The rate change indicates that there is intermittency, which is expressed here as a change-point in the asymptotic behavior of the absolute moments.

Izvorni jezik
Engleski

Znanstvena područja
Matematika

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