Semi-Selfdecomposable Laws and Related Processes

Publication date 30 December 2004

Category theory; homological algebra (18-XX) Geometry (51-XX) Convex and discrete geometry (52-XX) Probability theory and stochastic processes (60-XX) Statistics (62-XX)

Abstract: In this note we identify the class of distributions for {Xn} that can generate a linear, additive, first order auto-regressive scheme that is marginally stationary as semi-selfdecomposable laws. We give a method to construct these distributions. Its implications in subordination and selfdecomposability of Levy processes are given. The discrete analogues of these processes are also discussed.

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