Intermittency of trawl processes

Danijel Grahovac, Nikolai N. Leonenko and Murad S. Taqqu

Statistics & Probability Letters, 2018, vol. 137, issue C, 235-242

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.

Keywords: Trawl processes; Intermittency; Cumulants; Moments (search for similar items in EconPapers)
Date: 2018
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/S0167715218300415
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:stapro:v:137:y:2018:i:c:p:235-242

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

DOI: 10.1016/j.spl.2018.01.030

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().