Spectral Properties of Uperpositions of Ornstein-Uhlenbeck Type Processes
Spectral Properties of Uperpositions of Ornstein-Uhlenbeck Type Processes
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DOI：
10.1007/s11009-005-4521-0
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发表时间：
2005-11
影响因子：
0.9
通讯作者：
O. Barndorff-Nielsen;Nikolai N. Leonenko
中科院分区：
文献类型：
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作者：
O. Barndorff-Nielsen;Nikolai N. Leonenko
构造了具有一维边际律和长程相关的平稳过程。研究了谱密度的渐近性质。证明了叠加型过程的自相关函数存在Mittag-Leffler衰减的可能性。
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.