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dc.contributor.authorLeonenko, N.N.en_US
dc.contributor.authorRuiz-Medina, M. Doloresen_US
dc.contributor.authorTaqqu, Murad S.en_US
dc.date.accessioned2019-08-22T20:37:05Z
dc.date.available2019-08-22T20:37:05Z
dc.date.issued2017-01-01
dc.identifierhttp://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000390711900007&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=6e74115fe3da270499c3d65c9b17d654
dc.identifier.citationN.N. Leonenko, M.D. Ruiz-Medina, M.S. Taqqu. 2017. "Rosenblatt distribution subordinated to Gaussian random fields with long-range dependence." STOCHASTIC ANALYSIS AND APPLICATIONS, Volume 35, Issue 1, pp. 144 - 177 (34). https://doi.org/10.1080/07362994.2016.1230723
dc.identifier.issn0736-2994
dc.identifier.issn1532-9356
dc.identifier.urihttps://hdl.handle.net/2144/37216
dc.description.abstractThe Karhunen–Loève 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 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 established. Its Lévy–Khintchine representation, and membership to the Thorin subclass of self-decomposable distributions are obtained as well. The existence and boundedness of its probability density then follow as a direct consequence.en_US
dc.description.sponsorshipThis work has been partially supported by project MTM2015-71839-P of MINECO, Spain (co-funded with Feder funds). This research was supported in particular by Cardiff Incoming Visiting Fellowship Scheme and International Collaboration Seedcorn Fund. M. S. Taqqu was supported by the NSF grants DMS-1007616 and DMS-1309009 at Boston University. (MTM2015-71839-P - MINECO, Spain; Feder funds; Cardiff Incoming Visiting Fellowship Scheme; International Collaboration Seedcorn Fund; DMS-1007616 - NSF at Boston University; DMS-1309009 - NSF at Boston University)en_US
dc.format.extent144 - 177 (34)en_US
dc.languageEnglish
dc.publisherTAYLOR & FRANCIS INCen_US
dc.relation.ispartofSTOCHASTIC ANALYSIS AND APPLICATIONS
dc.subjectScience & technologyen_US
dc.subjectPhysical sciencesen_US
dc.subjectMathematics, applieden_US
dc.subjectStatistics & probabilityen_US
dc.subjectMathematicsen_US
dc.subjectFredholm determinanten_US
dc.subjectHermite polynomialsen_US
dc.subjectInfinite divisible distributionsen_US
dc.subjectMultiple Wiener-Ito stochastic integralsen_US
dc.subjectNon-central limit theoremsen_US
dc.subjectRosenblatt-type distributionen_US
dc.subjectApplied mathematicsen_US
dc.subjectStatisticsen_US
dc.subjectBanking, finance and investmenten_US
dc.titleRosenblatt distribution subordinated to Gaussian random fields with long-range dependenceen_US
dc.typeArticleen_US
dc.description.versionAccepted manuscripten_US
dc.identifier.doi10.1080/07362994.2016.1230723
pubs.elements-sourceweb-of-scienceen_US
pubs.notesEmbargo: Not knownen_US
pubs.organisational-groupBoston Universityen_US
pubs.organisational-groupBoston University, College of Arts & Sciencesen_US
pubs.organisational-groupBoston University, College of Arts & Sciences, Department of Mathematics & Statisticsen_US
pubs.publication-statusPublisheden_US
dc.identifier.orcid0000-0002-1145-9082 (Taqqu, MS)
dc.identifier.mycv54263


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