Bai, Shuyang; Taqqu, Murad S. - In: Statistics & Probability Letters 94 (2014) C, pp. 144-152
The Rosenblatt distribution appears as limit in non-central limit theorems. The generalized Rosenblatt distribution is obtained by allowing different power exponents in the kernel that defines the usual Rosenblatt distribution. We derive an explicit formula for its third moment, correcting the...