Structure of the third moment of the generalized Rosenblatt distribution

Shuyang Bai and Murad S. Taqqu

Statistics & Probability Letters, 2014, vol. 94, issue C, 144-152

Abstract: The Rosenblatt distribution appears as limit in non-central limit theorems. The generalized Rosenblatt distribution is obtained by allowing different power exponents in the kernel that defines the usual Rosenblatt distribution. We derive an explicit formula for its third moment, correcting the one in Maejima and Tudor (2012) and Tudor (2013). Evaluating this formula numerically, we are able to confirm that the class of generalized Hermite processes is strictly richer than the class of Hermite processes.

Keywords: Long memory; Self-similar processes; Rosenblatt processes; Generalized Rosenblatt processes (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2014.07.012

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