Spectral Properties of Uperpositions of Ornstein-Uhlenbeck Type Processes

Ole Barndorff-Nielsen and N. N. Leonenko ()
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N. N. Leonenko: Cardiff University

Methodology and Computing in Applied Probability, 2005, vol. 7, issue 3, 335-352

Abstract: Abstract Stationary processes with prescribed one-dimensional marginal laws and long-range dependence are constructed. The asymptotic properties of the spectral densities are studied. The possibility of Mittag-Leffler decay in the autocorrelation function of superpositions of Ornstein-Uhlenbeck type processes is proved.

Keywords: stationary processes; long range dependence; correlation function; Mittag-Leffler function; Ornstein-Uhlenbeck type processes; normal inverse Gaussian distribution (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1007/s11009-005-4521-0

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