Occupation times of the Ornstein-Uhlenbeck process: Functional PCA and evidence from electricity prices

► We apply functional principal component analysis (FPCA) to the occupation times of the Ornstein-Uhlenbeck process. ► With the FPCA, we examine the covariance structure of the occupation times in the limit of large time. ► Empirical evidence from energy price time series exhibits a similar structure. ► The analysis helps to build low-dimensional scenarios in stochastic large-scale models.