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arXiv · 2305.03600

Exact formulas for the fourth and fifth cumulant of the Rosenblatt distribution

Enno Diekema
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Abstract

In an earlier version of this paper \cite{6} a formula for the 4th cumulant of the Rosenblatt distribution was derived. In this paper formulas for the 3rd, 4th and 5th cumulant are derived using two methods. In the first method the necessary integrals are determined directly. The second method is the one used by Veillette and Taqqu. This is a recurring method. Finally both methods are discussed.

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Enno Diekema. 2023-05-05. Exact formulas for the fourth and fifth cumulant of the Rosenblatt distribution. https://arxiv.org/abs/2305.03600

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