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arXiv · 1904.00100

Intermittency and infinite variance: the case of integrated supOU processes

Danijel Grahovac·Nikolai N. Leonenko·Murad S. Taqqu
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Abstract

SupOU 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.

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Danijel Grahovac, Nikolai N. Leonenko, Murad S. Taqqu. 2019-03-29. Intermittency and infinite variance: the case of integrated supOU processes. https://arxiv.org/abs/1904.00100

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