Intermittency and infinite variance: the case of integrated supOU processes
Probability
2021-03-18 v2
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.
Cite
@article{arxiv.1904.00100,
title = {Intermittency and infinite variance: the case of integrated supOU processes},
author = {Danijel Grahovac and Nikolai N. Leonenko and Murad S. Taqqu},
journal= {arXiv preprint arXiv:1904.00100},
year = {2021}
}