Semi-Selfdecomposable Laws and Related Processes
S Satheesh, E Sandhya
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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