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Semi-Selfdecomposable Laws and Related Processes

S Satheesh·E Sandhya
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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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S Satheesh, E Sandhya. 2006-09-05. Semi-Selfdecomposable Laws and Related Processes. https://arxiv.org/abs/math/0412546

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