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Contents of PMS, Vol. 25, Fasc. 1,
pages 97 - 104
 

THE DEPENDENCE STRUCTURE OF THE FRACTIONAL ORNSTEIN-UHLENBECK PROCESS

M. Magdziarz

Abstract: Let X(t) be a fractional Lévy motion of Riemann-Liouville type and let Y (t) be a corresponding fractional stable Ornstein-Uhlenbeck process obtained through the Lamperti transformation of X(t). We investigate the asymptotic dependence structure of the stationary process Y (t) as t-- > oo and we show that Y (t) does not have the long-memory property.

2000 AMS Mathematics Subject Classification: 60G52.

Key words and phrases: Long-range dependence, stable processes, Ornstein-Uhlenbeck process.

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