On the distribution of the Rosenblatt process

被引：55
|
作者：
Maejima, Makoto [1 ]
Tudor, Ciprian A. [2 ,3 ,4 ]
机构：
[1] Keio Univ, Dept Math, Kohoku Ku, Yokohama, Kanagawa 2238522, Japan
[2] Univ Lille 1, Lab Paul Painleve UFR Math, F-59655 Villeneuve Dascq, France
[3] Acad Econ Studies, Dept Math, Bucharest, Romania
[4] Univ Paris 01, F-75231 Paris 05, France
来源：
STATISTICS & PROBABILITY LETTERS | 2013年 / 83卷 / 06期
关键词：
The Rosenblatt distribution; Infinitely divisible distribution; The Thorin class; Generalized gamma convolution; The unimodality of distribution; INTEGRAL-REPRESENTATIONS;
D O I：
10.1016/j.spl.2013.02.019
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We prove that the multivariate Rosenblatt distribution belongs to the Thorin class which is a subset of the class of selfdecomposable distributions. Using this fact we derive new properties of the Rosenblatt distribution. (C) 2013 Elsevier B.V. All rights reserved.
引用
收藏
页码：1490 / 1495
页数：6
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