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Published by Springer Berlin Heidelberg, 2012
ISBN 10: 3642311458 ISBN 13: 9783642311451
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Published by Springer Berlin Heidelberg, 2012
ISBN 10: 3642311458 ISBN 13: 9783642311451
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Taschenbuch. Condition: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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.
Taschenbuch. Condition: Neu. Student's t-Distribution and Related Stochastic Processes | Bronius Grigelionis | Taschenbuch | SpringerBriefs in Statistics | xi | Englisch | 2012 | Springer | EAN 9783642311451 | Verantwortliche Person für die EU: Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg, juergen[dot]hartmann[at]springer[dot]com | Anbieter: preigu.
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Published by Springer Berlin Heidelberg Sep 2012, 2012
ISBN 10: 3642311458 ISBN 13: 9783642311451
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Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 112 pp. Englisch.
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Language: English
Published by Springer, Springer Vieweg Sep 2012, 2012
ISBN 10: 3642311458 ISBN 13: 9783642311451
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Taschenbuch. Condition: Neu. This item is printed on demand - Print on Demand Titel. Neuware -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.Springer-Verlag KG, Sachsenplatz 4-6, 1201 Wien 112 pp. Englisch.