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Danijel Grahovac (University of Osijek): Limit theory for integrated supOU processes

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Wednesday, 14. September 2022, 14:00 - 16:00
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. The limit theorems will be presented both for the finite and infinite variance integrated supOU processes. Next, the asymptotic behavior of moments is established by measuring the rate of growth of moments in time. The integrated supOU process may exhibit a phenomenon known as intermittency. Some implications of this property are discussed.
Location : Riesz terem


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