A note on Rosenblatt distributions

被引：29

作者：

Albin, JMP ^{[1
]}

机构：

[1] Univ Gothenburg, Chalmers Univ Technol, Dept Math, S-41296 Gothenburg, Sweden

来源：

STATISTICS & PROBABILITY LETTERS | 1998年 / 40卷 / 01期

关键词：

central limit theorem; X-2 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;

D O I：

10.1016/S0167-7152(98)00109-6

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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. (C) 1998 Elsevier Science B.V. All rights reserved.

引用

页码：83 / 91

页数：9

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