Discrete-time trawl processes

Paul Doukhan, Adam Jakubowski, Silvia R.C. Lopes and Donatas Surgailis

Stochastic Processes and their Applications, 2019, vol. 129, issue 4, 1326-1348

Abstract: We introduce a class of discrete time stationary trawl processes taking real or integer values and written as sums of past values of independent ‘seed’ processes on shrinking intervals (‘trawl heights’). Related trawl processes in continuous time were studied in Barndorff-Nielsen et al. (2011, 2014).

Keywords: Trawl process; Integer-valued time series; Long memory; Distributional short-range dependence; Fractional Brownian motion; Stable Lévy process; Functional convergence; Skorokhod’s M1 topology (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304414918301571
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:129:y:2019:i:4:p:1326-1348

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spa.2018.05.004

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().