Intermittency of trawl processes

Danijel Grahovac; Nikolai N. Leonenko; Murad S. Taqqu

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arXiv · 1708.02762

Intermittency of trawl processes

Danijel Grahovac·Nikolai N. Leonenko·Murad S. Taqqu

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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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Danijel Grahovac, Nikolai N. Leonenko, Murad S. Taqqu. 2017-08-09. Intermittency of trawl processes. https://arxiv.org/abs/1708.02762

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