On the distribution of the Rosenblatt process

Makoto Maejima and Ciprian A. Tudor

Statistics & Probability Letters, 2013, vol. 83, issue 6, 1490-1495

Abstract: 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.

Keywords: The Rosenblatt distribution; Infinitely divisible distribution; The Thorin class; Generalized gamma convolution; The unimodality of distribution (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (8)

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DOI: 10.1016/j.spl.2013.02.019

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