Gamma mixed fractional Lévy Ornstein-Uhlenbeck process
arXiv:2107.09829
Abstract
In this article, we introduce a non Gaussian long memory process 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 process are shown.