Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes

DOI10.1111/sjos.12056zbMath1309.60033OpenAlexW2329901256MaRDI QIDQ2922163

Neil Shephard, Almut E. D. Veraart, Asger Lunde, Ole Eiler Barndorff-Nielsen

Publication date: 9 October 2014

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: http://nrs.harvard.edu/urn-3:HUL.InstRepos:34650304

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stationary stochastic processes (60G10)

Related Items (17)

Intermittency of trawl processes ⋮ Multivariate integer-valued time series with flexible autocovariances and their application to major hurricane counts ⋮ Inference and forecasting for continuous-time integer-valued trawl processes ⋮ Discrete-time trawl processes ⋮ Simulation methods and error analysis for trawl processes and ambit fields ⋮ Likelihood Inference for Exponential-Trawl Processes ⋮ Spectral estimation for non-linear long range dependent discrete time trawl processes ⋮ Hierarchical Space-Time Modeling of Asymptotically Independent Exceedances With an Application to Precipitation Data ⋮ Limit theorems for trawl processes ⋮ Selfdecomposable fields ⋮ Limit theorems for integrated trawl processes with symmetric Lévy bases ⋮ Modeling, simulation and inference for multivariate time series of counts using trawl processes ⋮ Some Recent Developments in Ambit Stochastics ⋮ Stationary and multi-self-similar random fields with stochastic volatility ⋮ Metatimes, random measures and cylindrical random variables ⋮ A note on linear processes with tapered innovations ⋮ Ambit fields: a stochastic modelling approach

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