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Spectral properties of superpositions of Ornstein-Uhlenbeck type processes

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  • Institut for Matematiske Fag
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.
OriginalsprogEngelsk
TidsskriftMeth. Comp. Appl. Prob.
Vol/bind7
Nummer3
Sider (fra-til)335-352
Antal sider18
DOI
StatusUdgivet - 2005

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