Gamma mixed fractional L\'evy Ornstein-Uhlenbeck process
Probability
2021-07-22 v1
Abstract
In this article, we introduce a non Gaussian long memory process constructed by the aggregation of independent copies of a fractional L\'evy Ornstein-Uhlenbeck process with random coefficients. Several properties and a limit theorem are studied for this new process. Finally, some simulations of the limit process are shown.
Keywords
Cite
@article{arxiv.2107.09829,
title = {Gamma mixed fractional L\'evy Ornstein-Uhlenbeck process},
author = {Héctor Araya and Johanna Garzón and Rolando Rubilar},
journal= {arXiv preprint arXiv:2107.09829},
year = {2021}
}