Intermittency of trawl processes
Probability
2017-08-10 v1
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.
Cite
@article{arxiv.1708.02762,
title = {Intermittency of trawl processes},
author = {Danijel Grahovac and Nikolai N. Leonenko and Murad S. Taqqu},
journal= {arXiv preprint arXiv:1708.02762},
year = {2017}
}