On the distribution of the Rosenblatt process

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.

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Year of publication:	2013
Authors:	Maejima, Makoto ; Tudor, Ciprian A.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 6, p. 1490-1495
Publisher:	Elsevier
Subject:	The Rosenblatt distribution \| Infinitely divisible distribution \| The Thorin class \| Generalized gamma convolution \| The unimodality of distribution

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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