Semi-Selfdecomposable Laws and Related Processes
Probability
2007-06-13 v3 Statistics Theory
Statistics Theory
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.
Keywords
Cite
@article{arxiv.math/0412546,
title = {Semi-Selfdecomposable Laws and Related Processes},
author = {S Satheesh and E Sandhya},
journal= {arXiv preprint arXiv:math/0412546},
year = {2007}
}
Comments
Revised, as in the journal format