Gamma mixed fractional Lévy Ornstein–Uhlenbeck process
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 proces...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
VTeX
2023-12-01
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| Series: | Modern Stochastics: Theory and Applications |
| Subjects: | |
| Online Access: | https://www.vmsta.org/doi/10.15559/23-VMSTA237 |