Almost sure growth of integrated supOU processes
Fuente:
arXiv
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| Auteurs principaux: | , |
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| Format: | Preprint |
| Publié: |
2024
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| _version_ | 1866913513767698432 |
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| author | Grahovac, Danijel Kevei, Peter |
| author_facet | Grahovac, Danijel Kevei, Peter |
| contents | Superpositions of Ornstein-Uhlenbeck processes allow a flexible dependence structure, including long range dependence for OU-type processes. Their complex asymptotics are governed by three effects: the behavior of the Lévy measure both at infinity and at zero, and the behavior at zero of the measure governing the dependence. We establish almost sure rates of growth depending on the characteristics of the process and prove a Marcinkiewicz--Zygmund type SLLN for the integrated process. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2402_01196 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Almost sure growth of integrated supOU processes Grahovac, Danijel Kevei, Peter Probability 60G17, 60F15, 60G55, 60G57 Superpositions of Ornstein-Uhlenbeck processes allow a flexible dependence structure, including long range dependence for OU-type processes. Their complex asymptotics are governed by three effects: the behavior of the Lévy measure both at infinity and at zero, and the behavior at zero of the measure governing the dependence. We establish almost sure rates of growth depending on the characteristics of the process and prove a Marcinkiewicz--Zygmund type SLLN for the integrated process. |
| title | Almost sure growth of integrated supOU processes |
| topic | Probability 60G17, 60F15, 60G55, 60G57 |
| url | https://arxiv.org/abs/2402.01196 |