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
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Citations: View citations in EconPapers (4)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:40:y:1998:i:1:p:83-91
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