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.
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AMS 2000 Subject Classification
Primary 60E07, 60G10, 60G18
Secondary 62M10, 62P05
Supported by the Danish National Research Foundation and EPSRC grant RCMT091.
Partially supported by the ARC grants DP 0345577, DP0559807 and EPSRC grant RCMT091.
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Barndorff-Nielsen, O.E., Leonenko, N.N. Spectral Properties of Uperpositions of Ornstein-Uhlenbeck Type Processes. Methodol Comput Appl Probab 7, 335–352 (2005). https://doi.org/10.1007/s11009-005-4521-0
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DOI: https://doi.org/10.1007/s11009-005-4521-0