Convergence of integrated superpositions of Ornstein-Uhlenbeck processes to fractional Brownian motion

摘要

Superpositions of Ornstein-Uhlenbeck processes provide convenient ways to build stationary processes with given marginal distributions and long range dependence, After reviewing some of the basic features, we present several examples of processes with non-Gaussian marginal distributions, Our main results concern asymptotic properties of sums and partial sums of these processes and their polynomial functions. Further, we discuss some applications to estimation.