Pregled bibliografske jedinice broj: 937129
The unusual properties of aggregated superpositions of Ornstein-Uhlenbeck type processes
The unusual properties of aggregated superpositions of Ornstein-Uhlenbeck type processes // Bernoulli, 25 (2019), 3; 2029-2050 doi:10.3150/18-BEJ1044 (međunarodna recenzija, članak, znanstveni)
CROSBI ID: 937129 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
The unusual properties of aggregated
superpositions of Ornstein-Uhlenbeck type
processes
Autori
Grahovac, Danijel ; Leonenko, Nikolai N. ; Sikorskii, Alla ; Taqqu, Murad S.
Izvornik
Bernoulli (1350-7265) 25
(2019), 3;
2029-2050
Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni
Ključne riječi
self-similarity ; supOU processes ; Ornstein-Uhlenbeck process ; intermittency ; cumulants ; moments
Sažetak
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. Many proofs are given in a supplemental article.
Izvorni jezik
Engleski
Znanstvena područja
Matematika
POVEZANOST RADA
Ustanove:
Sveučilište u Osijeku, Odjel za matematiku
Profili:
Danijel Grahovac
(autor)
Citiraj ovu publikaciju:
Časopis indeksira:
- Current Contents Connect (CCC)
- Web of Science Core Collection (WoSCC)
- Science Citation Index Expanded (SCI-EXP)
- SCI-EXP, SSCI i/ili A&HCI
- Scopus
