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

2017/08/07 by Danijel Grahovac, Grahovac, Danijel, Nikolai N. Leonenko +5
Mathematics · #FOS: Mathematics #Probability (math.PR) #math.PR

paper · pdf · doi:10.48550/arxiv.1708.02178

arxiv created 2017/08/07 · arxiv updated 2017/08/08

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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