Abstract
A number of stationary stochastic processes are presented with properties pertinent to modelling time series from turbulence and finance. Specifically, the one-dimensional marginal distributions have log-linear tails and the autocorrelation may have two or more time scales. Discrete time models with a given marginal distribution are constructed as sums of independent autoregressions. A similar construction is made in continuous time by considering sums of Ornstein-Uhlenbeck-type processes. To prepare for this, a new property of self-decomposable distributions is presented. Also another, rather different, construction of stationary processes with generalized logistic marginal distributions as an infinite sum of Gaussian processes is proposed. In this way processes with continuous sample paths can be constructed. Multivariate versions of the various constructions are also given.
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