Abstract
In this article, a non-Gaussian long memory process is constructed by the aggregation of independent copies of a fractional Lévy Ornstein–Uhlenbeck process with random coefficients. Several properties and a limit theorem are studied for this new process. Finally, some simulations of the limit process are shown.
| Original language | English |
|---|---|
| Pages (from-to) | 63-83 |
| Number of pages | 21 |
| Journal | Modern Stochastics: Theory and Applications |
| Volume | 11 |
| Issue number | 1 |
| DOIs | |
| State | Published - Jan 2024 |
| Externally published | Yes |
Keywords
- Fractional Lévy process
- Ornstein–Uhlenbeck process
- non-Gaussian process
- random coefficients
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