On the distribution of the Rosenblatt process

DOI10.1016/j.spl.2013.02.019zbMath1287.60024OpenAlexW2013635057MaRDI QIDQ386276

Ciprian A. Tudor, Makoto Maejima

Publication date: 9 December 2013

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2013.02.019

zbMATH Keywords

infinitely divisible distributionRosenblatt distributiongeneralized gamma convolutionThorin classunimodality of distribution

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Probability distributions: general theory (60E05) Self-similar stochastic processes (60G18)

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Cites Work

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• Properties and numerical evaluation of the Rosenblatt distribution
• Regularization and integral representations of Hermite processes
• Some classes of multivariate infinitely divisible distributions admitting stochastic integral representations
• Variations and estimators for self-similarity parameters via Malliavin calculus
• Generalized gamma convolutions and related classes of distributions and densities
• Unimodality of infinitely divisible distribution functions of class L
• A note on Rosenblatt distributions
• On the infinite divisbility of the Pareto distribution
• On the infinite divisibility of the lognormal distribution
• Convergence of integrated processes of arbitrary Hermite rank
• Non-central limit theorems for non-linear functional of Gaussian fields
• Analysis of the Rosenblatt process

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