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

页码：1490 / 1495

页数：6

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