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Spectral Properties of Uperpositions of Ornstein-Uhlenbeck Type Processes

Author

Listed:
  • O. E. Barndorff-Nielsen

    (University of Aarhus)

  • N. N. Leonenko

    (Cardiff University)

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.

Suggested Citation

  • O. E. Barndorff-Nielsen & N. N. Leonenko, 2005. "Spectral Properties of Uperpositions of Ornstein-Uhlenbeck Type Processes," Methodology and Computing in Applied Probability, Springer, vol. 7(3), pages 335-352, September.
    • Handle: RePEc:spr:metcap:v:7:y:2005:i:3:d:10.1007_s11009-005-4521-0
    DOI: 10.1007/s11009-005-4521-0
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    References listed on IDEAS

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    1. Anh, V. V. & Leonenko, N. N., 2000. "Scaling laws for fractional diffusion-wave equations with singular data," Statistics & Probability Letters, Elsevier, vol. 48(3), pages 239-252, July.
    2. R. Pillai, 1990. "On Mittag-Leffler functions and related distributions," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 42(1), pages 157-161, March.
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