Discrete-time trawl processes

DOI10.1016/J.SPA.2018.05.004MaRDI QIDQ2419973zbMATH OpenOpenAlexWikidataFDO

Authors Paul Doukhan, Adam Jakubowski, Sílvia R. C. Lopes, Donatas Surgailis

Publication date 4 June 2019

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2018.05.004

zbMATH Keywords

distributional short-range dependencefractional Brownian motionfunctional convergenceinteger-valued time serieslong memorySkorokhod's \(M_1\) topologystable Lévy processtrawl process

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Fractional processes, including fractional Brownian motion (60G22) Stable stochastic processes (60G52) Special processes (60K99)

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• Limit theorems for trawl processes
• Limit theorems for integrated trawl processes with symmetric Lévy bases
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• Spectral estimation for non-linear long range dependent discrete time trawl processes
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Cited in

(11)

• Intermittency of trawl processes
• Limit theorems for integrated trawl processes with symmetric Lévy bases
• Spectral estimation for non-linear long range dependent discrete time trawl processes
• Limit theorems for trawl processes
• Limit theorems, scaling of moments and intermittency for integrated finite variance supOU processes
• Integer-valued trawl processes: a class of stationary infinitely divisible processes
• Intermittency and multiscaling in limit theorems
• Inference and forecasting for continuous-time integer-valued trawl processes
• Simulation methods and error analysis for trawl processes and ambit fields
• Periodic trawl processes: simulation, statistical inference and applications in energy markets
• A note on linear processes with tapered innovations

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