| Texto completo | |
| Autor(es): |
Kovtun, Anastasiia
;
Leonenko, Nikolai
;
Pepelyshev, Andrey
Número total de Autores: 3
|
| Tipo de documento: | Artigo Científico |
| Fonte: | COMMUNICATIONS IN NONLINEAR SCIENCE AND NUMERICAL SIMULATION; v. 153, p. 17-pg., 2026-02-01. |
| Resumo | |
This paper investigates the properties of high-order spectral densities and high-order cumulants of superpositions of Ornstein-Uhlenbeck (supOU) processes. As is well known, the long-range dependence of a stochastic process is typically characterized by the second-order spectral density or correlation function. We introduce the property of high-order long-range dependence using high-order spectral densities and cumulants. Sufficient conditions are derived for the supOU process to exhibit high-order long-range dependence. A numerical study of supOU processes with Dickman and gamma marginals is presented to illustrate the theoretical findings. (AU) | |
| Processo FAPESP: | 22/09201-8 - Sistemas diferenciais fracionários e estocástica |
| Beneficiário: | Jayme Morandi Vaz |
| Modalidade de apoio: | Auxílio à Pesquisa - Pesquisador Visitante - Internacional |