Intermittency of trawl processes

DOI10.1016/J.SPL.2018.01.030MaRDI QIDQ1640960zbMATH OpenOpenAlexFDO

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

Publication date 14 June 2018

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1708.02762

zbMATH Keywords

momentstrawl processescumulantsintermittency

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Stationary stochastic processes (60G10) Self-similar stochastic processes (60G18)

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.

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Cited in

(5)

• Limit theorems for integrated trawl processes with symmetric Lévy bases
• Intermittency in the small-time behavior of Lévy processes
• Limit theorems for trawl processes
• Periodic trawl processes: simulation, statistical inference and applications in energy markets
• Intermittency and multiscaling in limit theorems

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