| 000 | 02713nam a22004215i 4500 | ||
|---|---|---|---|
| 001 | 978-3-642-31146-8 | ||
| 003 | DE-He213 | ||
| 005 | 20140220082849.0 | ||
| 007 | cr nn 008mamaa | ||
| 008 | 120917s2013 gw | s |||| 0|eng d | ||
| 020 |
_a9783642311468 _9978-3-642-31146-8 |
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| 024 | 7 |
_a10.1007/978-3-642-31146-8 _2doi |
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| 050 | 4 | _aQA276-280 | |
| 072 | 7 |
_aPBT _2bicssc |
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| 072 | 7 |
_aMAT029000 _2bisacsh |
|
| 082 | 0 | 4 |
_a519.5 _223 |
| 100 | 1 |
_aGrigelionis, Bronius. _eauthor. |
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| 245 | 1 | 0 |
_aStudent’s t-Distribution and Related Stochastic Processes _h[electronic resource] / _cby Bronius Grigelionis. |
| 264 | 1 |
_aBerlin, Heidelberg : _bSpringer Berlin Heidelberg : _bImprint: Springer, _c2013. |
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| 300 |
_aXI, 99 p. _bonline resource. |
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| 336 |
_atext _btxt _2rdacontent |
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| 337 |
_acomputer _bc _2rdamedia |
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| 338 |
_aonline resource _bcr _2rdacarrier |
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| 347 |
_atext file _bPDF _2rda |
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| 490 | 1 |
_aSpringerBriefs in Statistics, _x2191-544X |
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| 505 | 0 | _aIntroduction -- Asymptotics -- Preliminaries of Lévy Processes -- Student-Lévy Processes -- Student OU-type Processes -- Student Diffusion Processes -- Miscellanea -- Bessel Functions -- References -- Index. | |
| 520 | _aThis 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 | _aStatistics. | |
| 650 | 1 | 4 | _aStatistics. |
| 650 | 2 | 4 | _aStatistics, general. |
| 710 | 2 | _aSpringerLink (Online service) | |
| 773 | 0 | _tSpringer eBooks | |
| 776 | 0 | 8 |
_iPrinted edition: _z9783642311451 |
| 830 | 0 |
_aSpringerBriefs in Statistics, _x2191-544X |
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| 856 | 4 | 0 | _uhttp://dx.doi.org/10.1007/978-3-642-31146-8 |
| 912 | _aZDB-2-SMA | ||
| 999 |
_c97069 _d97069 |
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