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Intermittency of trawl processes

Grahovac, Danijel, Leonenko, Nikolai and Taqqu, Murad S. 2018. Intermittency of trawl processes. Statistics and Probability Letters 137 , pp. 235-242. 10.1016/j.spl.2018.01.030

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Abstract

We study the limiting behavior of continuous time trawl processes which are defined using an infinitely divisible random measure of a time dependent set. In this way one is able to define separately the marginal distribution and the dependence structure. One can have long-range dependence or short-range dependence by choosing the time set accordingly. We introduce the scaling function of the integrated process and show that its behavior displays intermittency, a phenomenon associated with an unusual behavior of moments.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Mathematics
Publisher: Elsevier
ISSN: 0167-7152
Date of First Compliant Deposit: 29 January 2018
Date of Acceptance: 27 January 2018
Last Modified: 01 Jul 2019 11:48
URI: http://orca.cf.ac.uk/id/eprint/108524

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