Semi-Selfdecomposable Laws and Related Processes

Details Semi-Selfdecomposable Laws and Related Processes Semi-Selfdecomposable Laws and Related Processes

2004-12-30

arxiv.org/abs/math/0412546v3

Journal of the Indian Statistical Association, 2005, Vol.43, 157-166

Mathematics

Probability

Revised, as in the journal format

Scientific paper

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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