Code implementing methods from papers

-- Veillette, Mark S., and Murad S. Taqqu. "Properties and numerical evaluation of the Rosenblatt distribution." Bernoulli 19.3 (2013): 982-1005.

-- Veillette, Mark S., and Murad S. Taqqu. "A technique for computing the PDFs and CDFs of nonnegative infinitely divisible random variables." Journal of Applied Probability 48.1 (2011): 217-237.

In particular, this library contains functions that

(1) Approximates distribution functions (CDF & PDF) of the Rosenblatt distribution (RosenblattPDF, RosenblattCDF)

(2) Computes cumulants & moments of the Rosenblatt distribution (RosenblattC)

(3) Approximates eigenvalues in Rosenblatt expression as an infinite sum of chi-squared random variables (RosenblattEigs)

(4) Approximates distributions functions of non-negative infinitely divisible random variables (nninfdiv)

Please refer to code comments to see how these functions work.