Intermittency of trawl processes

Grahovac, Danijel, Leonenko, Nikolai ORCID: https://orcid.org/0000-0003-1932-4091 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:	15 Nov 2024 05:45
URI:	https://orca.cardiff.ac.uk/id/eprint/108524

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