Electronic Resource

Student’s t-distribution and related stochastic processes

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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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Ketersediaan

Informasi Detail

Judul Seri

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No. Panggil

E757

Penerbit

Jerman : Springer Berlin, Heidelberg., 2013

Deskripsi Fisik

xi, 99 hlm.

Bahasa

English

ISBN/ISSN

9783642311468

Klasifikasi

NONE

Tipe Isi

text

Tipe Media

computer

Tipe Pembawa

online resource

Edisi

-

Subjek

Statistik

Info Detail Spesifik

-

Pernyataan Tanggungjawab

Bronius Grigelionis

Versi lain/terkait

Lampiran Berkas

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