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Student's t-Distribution and related stochastic processes Bronius Grigelionis
Springer Nature - Springer Mathematics and Statistics (R0) eBooks 2013 English International Available online
View online- Format:
- Book
- Author/Creator:
- Grigelionis, B. (Bronius), 1935-
- Series:
- SpringerBriefs in statistics
- SpringerBriefs in statistics 2191-544X
- Language:
- English
- Subjects (All):
- Stochastic processes.
- t-test (Statistics).
- Stochastic Processes.
- Medical Subjects:
- Stochastic Processes.
- Physical Description:
- 1 online resource
- Place of Publication:
- Heidelberg New York Springer ©2013
- Language Note:
- English
- System Details:
- text file
- Summary:
- 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
- Contents:
- Asymptotics Preliminaries of Lévy Processes Student-Lévy Processes Student OU-Type Processes Student Diffusion Processes Miscellanea
- Notes:
- Includes bibliographical references and index
- Print version record
- Other Format:
- Print version Grigelionis, B. (Bronius), 1935- Student's t-Distribution and related stochastic processes
- ISBN:
- 9783642311468
- 3642311466
- OCLC:
- 811563993
- Access Restriction:
- Restricted for use by site license
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