A note on Rosenblatt distributions

J. M. P. Albin

Statistics & Probability Letters, 1998, vol. 40, issue 1, 83-91

Abstract: Rosenblatt processes are functional limits in non-central limit theorems for strongly dependent Gaussian sequences. Using local limit techniques we show that their marginal distributions belong to the Type I domain of attraction of extremes. This in turn makes it possible to obtain bounds on local extremes for Rosenblatt processes.

Keywords: Central; limit; theorem; x2; limit; theorem; Domain; of; attraction; Extreme; values; Laplace; transform; Local; limit; theorem; Non-central; limit; theorem; Rosenblatt; distribution; Rosenblatt; process; Self-similar; process; Tauberian; theorem (search for similar items in EconPapers)
Date: 1998
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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