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

DOI10.1016/J.SPA.2019.01.010MaRDI QIDQ2280023zbMATH OpenOpenAlexFDO

Authors Danijel Grahovac, Murad S. Taqqu, Nikolai N. Leonenko

Publication date 17 December 2019

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1711.09623, http://orca.cf.ac.uk/119124/1/GLT-2018-Limit.pdf

zbMATH Keywords

intermittencylimit theoremssupOU processes

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Self-similar stochastic processes (60G18) Processes with independent increments; Lévy processes (60G51)

Abstract: 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.

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Cited in

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