Properties and numerical evaluation of the Rosenblatt distribution

DOI10.3150/12-BEJ421zbMATH Open1273.60020arXiv1307.5990OpenAlexW3124809427MaRDI QIDQ358142FDOQ358142

Murad S. Taqqu, Mark S. Veillette

Publication date: 16 August 2013

Published in: Bernoulli (Search for Journal in Brave)

Abstract: This paper studies various distributional properties of the Rosenblatt distribution. We begin by describing a technique for computing the cumulants. We then study the expansion of the Rosenblatt distribution in terms of shifted chi-squared distributions. We derive the coefficients of this expansion and use these to obtain the L'{e}vy-Khintchine formula and derive asymptotic properties of the L'{e}vy measure. This allows us to compute the cumulants, moments, coefficients in the chi-square expansion and the density and cumulative distribution functions of the Rosenblatt distribution with a high degree of precision. Tables are provided and software written to implement the methods described here is freely available by request from the authors.

Full work available at URL: https://arxiv.org/abs/1307.5990

zbMATH Keywords

self-similarityEdgeworth expansionslong range dependenceRosenblatt distribution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05)

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Cited In (53)

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Uses Software

• Equator

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