000 | 02763nam a22004337a 4500 | ||
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001 | sulb-eb0023911 | ||
003 | BD-SySUS | ||
005 | 20160413122414.0 | ||
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 |
|
050 | 4 | _aQA276-280 | |
072 | 7 |
_aPBT _2bicssc |
|
072 | 7 |
_aMAT029000 _2bisacsh |
|
082 | 0 | 4 |
_a519.5 _223 |
100 | 1 |
_aGrigelionis, Bronius. _eauthor. |
|
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. |
|
300 |
_aXI, 99 p. _bonline resource. |
||
336 |
_atext _btxt _2rdacontent |
||
337 |
_acomputer _bc _2rdamedia |
||
338 |
_aonline resource _bcr _2rdacarrier |
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347 |
_atext file _bPDF _2rda |
||
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 |
|
856 | 4 | 0 | _uhttp://dx.doi.org/10.1007/978-3-642-31146-8 |
912 | _aZDB-2-SMA | ||
942 |
_2Dewey Decimal Classification _ceBooks |
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999 |
_c46003 _d46003 |