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Student's t-Distribution and Related Stochastic Processes by Bronius Grigelionis (Paperback, 2012)

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About this product

Product Information

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-Levy processes as Thorin subordinated Gaussian Levy 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-Levy 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-Levy type processes, the notion of Levy copulas and the related analogue of Sklar's theorem are explained.

Product Identifiers

Publisher
Springer-Verlag Berlin and Heidelberg Gmbh & Co. Kg
ISBN-13
9783642311451
eBay Product ID (ePID)
128892541

Product Key Features

Author
Bronius Grigelionis
Publication Name
Student's T-Distribution and Related Stochastic Processes
Format
Paperback
Language
English
Subject
Mathematics
Publication Year
2012
Type
Textbook
Number of Pages
99 Pages

Dimensions

Item Height
235mm
Item Width
155mm
Item Weight
1825g

Additional Product Features

Title_Author
Bronius Grigelionis
Series Title
Springerbriefs in Statistics
Country/Region of Manufacture
Germany

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