Student's t-distribution and related stochastic processes / / Bronius Grigelionis
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| Autore: |
Grigelionis Bronius
|
| Titolo: |
Student's t-distribution and related stochastic processes / / Bronius Grigelionis
|
| Pubblicazione: | New York, : Springer, 2013 |
| Edizione: | 1st ed. 2013. |
| Descrizione fisica: | 1 online resource (104 p.) |
| Disciplina: | 519.2 |
| Soggetto topico: | Stochastic processes |
| Distribution (Probability theory) | |
| Note generali: | Description based upon print version of record. |
| Nota di bibliografia: | Includes bibliographical references and index. |
| Nota di contenuto: | Introduction -- Asymptotics -- Preliminaries of Lévy Processes -- Student-Lévy Processes -- Student OU-type Processes -- Student Diffusion Processes -- Miscellanea -- Bessel Functions -- References -- Index. |
| Sommario/riassunto: | 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. |
| Titolo autorizzato: | Student’s t-Distribution and Related Stochastic Processes |
| ISBN: | 1-283-63089-3 |
| 9786613943347 | |
| 3-642-31146-6 | |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 9910437866003321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |
Serie:
SpringerBriefs in Statistics, . 2191-544X