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arxiv: 1501.02247 · v4 · pith:CM3Y5G3Inew · submitted 2015-01-09 · 🧮 math.ST · stat.TH

Rosenblatt distribution subordinated to gaussian random fields with long-range dependence

classification 🧮 math.ST stat.TH
keywords distributionrandomasymptoticdependencefieldsgaussianlong-rangerepresentation
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The Karhunen-Lo\`eve expansion and the Fredholm determinant formula are used to derive an asymptotic Rosenblatt-type distribution of a sequence of integrals of quadratic functions of Gaussian stationary random fields on R^d displaying long-range dependence. This distribution reduces to the usual Rosenblatt distribution when d=1. Several properties of this new distribution are obtained. Specifically, its series representation in terms of independent chi-squared random variables is given, the asymptotic behavior of the eigenvalues, its L\`evy-Khintchine representation, as well as its membership to the Thorin subclass of self-decomposable distributions. The existence and boundedness of its probability density is then a direct consequence.

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