engleski

Intermittency of trawl processes

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.

Intermittency ; trawl processes ; limit theorems ;

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