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Student’s t-Distribution and Related Stochastic Processes [electronic resource] / by Bronius Grigelionis.

By: Grigelionis, Bronius [author.].
Contributor(s): SpringerLink (Online service).
Material type: materialTypeLabelBookSeries: SpringerBriefs in Statistics: Publisher: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2013Description: XI, 99 p. online resource.Content type: text Media type: computer Carrier type: online resourceISBN: 9783642311468.Subject(s): Statistics | Statistics | Statistics, generalDDC classification: 519.5 Online resources: Click here to access online
Contents:
Introduction -- Asymptotics -- Preliminaries of Lévy Processes -- Student-Lévy Processes -- Student OU-type Processes -- Student Diffusion Processes -- Miscellanea -- Bessel Functions -- References -- Index.
In: Springer eBooksSummary: This brief monograph is an in-depth study of the infinite divisibility and self-decomposability properties of central and noncentral Student’s distributions, represented as variance and mean-variance mixtures of multivariate Gaussian distributions with the reciprocal gamma mixing distribution. These results allow us to define and analyse Student-Lévy processes as Thorin subordinated Gaussian Lévy processes. A broad class of one-dimensional, strictly stationary diffusions with the Student’s t-marginal distribution are defined as the unique weak solution for the stochastic differential equation. Using the independently scattered random measures generated by the bi-variate centred Student-Lévy process, and stochastic integration theory, a univariate, strictly stationary process with the centred Student’s t- marginals and the arbitrary correlation structure are defined. As a promising direction for future work in constructing and analysing new multivariate Student-Lévy type processes, the notion of Lévy copulas and the related analogue of Sklar’s theorem are explained.
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Introduction -- Asymptotics -- Preliminaries of Lévy Processes -- Student-Lévy Processes -- Student OU-type Processes -- Student Diffusion Processes -- Miscellanea -- Bessel Functions -- References -- Index.

This brief monograph is an in-depth study of the infinite divisibility and self-decomposability properties of central and noncentral Student’s distributions, represented as variance and mean-variance mixtures of multivariate Gaussian distributions with the reciprocal gamma mixing distribution. These results allow us to define and analyse Student-Lévy processes as Thorin subordinated Gaussian Lévy processes. A broad class of one-dimensional, strictly stationary diffusions with the Student’s t-marginal distribution are defined as the unique weak solution for the stochastic differential equation. Using the independently scattered random measures generated by the bi-variate centred Student-Lévy process, and stochastic integration theory, a univariate, strictly stationary process with the centred Student’s t- marginals and the arbitrary correlation structure are defined. As a promising direction for future work in constructing and analysing new multivariate Student-Lévy type processes, the notion of Lévy copulas and the related analogue of Sklar’s theorem are explained.

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