|
|
|
|
LEADER |
02732nam a22004215i 4500 |
001 |
978-3-642-31146-8 |
003 |
DE-He213 |
005 |
20130727041132.0 |
007 |
cr nn 008mamaa |
008 |
120917s2013 gw | s |||| 0|eng d |
020 |
|
|
|a 9783642311468
|9 978-3-642-31146-8
|
024 |
7 |
|
|a 10.1007/978-3-642-31146-8
|2 doi
|
040 |
|
|
|d GrThAP
|
050 |
|
4 |
|a QA276-280
|
072 |
|
7 |
|a PBT
|2 bicssc
|
072 |
|
7 |
|a MAT029000
|2 bisacsh
|
082 |
0 |
4 |
|a 519.5
|2 23
|
100 |
1 |
|
|a Grigelionis, Bronius.
|e author.
|
245 |
1 |
0 |
|a Student’s t-Distribution and Related Stochastic Processes
|h [electronic resource] /
|c by Bronius Grigelionis.
|
264 |
|
1 |
|a Berlin, Heidelberg :
|b Springer Berlin Heidelberg :
|b Imprint: Springer,
|c 2013.
|
300 |
|
|
|a XI, 99 p.
|b online resource.
|
336 |
|
|
|a text
|b txt
|2 rdacontent
|
337 |
|
|
|a computer
|b c
|2 rdamedia
|
338 |
|
|
|a online resource
|b cr
|2 rdacarrier
|
347 |
|
|
|a text file
|b PDF
|2 rda
|
490 |
1 |
|
|a SpringerBriefs in Statistics,
|x 2191-544X
|
505 |
0 |
|
|a Introduction -- Asymptotics -- Preliminaries of Lévy Processes -- Student-Lévy Processes -- Student OU-type Processes -- Student Diffusion Processes -- Miscellanea -- Bessel Functions -- References -- Index.
|
520 |
|
|
|a 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.
|
650 |
|
0 |
|a Statistics.
|
650 |
1 |
4 |
|a Statistics.
|
650 |
2 |
4 |
|a Statistics, general.
|
710 |
2 |
|
|a SpringerLink (Online service)
|
773 |
0 |
|
|t Springer eBooks
|
776 |
0 |
8 |
|i Printed edition:
|z 9783642311451
|
830 |
|
0 |
|a SpringerBriefs in Statistics,
|x 2191-544X
|
856 |
4 |
0 |
|u http://dx.doi.org/10.1007/978-3-642-31146-8
|z Full Text via HEAL-Link
|
912 |
|
|
|a ZDB-2-SMA
|
950 |
|
|
|a Mathematics and Statistics (Springer-11649)
|