Student s t-distribution and related stochastic processes
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...
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| Autore principale: | |
|---|---|
| Natura: | Livre numérique |
| Lingua: | Anglais |
| Pubblicazione: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Edizione: | 1st ed. 2013. |
| Serie: | SpringerBriefs in Statistics
|
| Accesso online: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Nota: |
Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Student s t-Distribution and Related Stochastic Processes, Texte imprimé, 9783642311451 • Student's t-Distribution and Related Stochastic Processes, Texte imprimé, 9783642311475 |
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| 041 | 0 | |a eng | |
| 082 | |a 519.5 | ||
| 100 | 1 | |a Grigelionis, Bronius, |d 1935-2014. | |
| 245 | 1 | 0 | |a Student s t-distribution and related stochastic processes |c by Bronius Grigelionis. |
| 250 | |a 1st ed. 2013. | ||
| 260 | |a Berlin, Heidelberg : |b Springer Berlin Heidelberg. | ||
| 260 | |a Cham : |b Springer Nature, |c [20..]. | ||
| 490 | 0 | |a SpringerBriefs in Statistics |x 2191-5458 | |
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 505 | 1 | |a Introduction Asymptotics Preliminaries of Lévy Processes Student-Lévy Processes Student OU-type Processes Student Diffusion Processes Miscellanea Bessel Functions References Index | |
| 506 | |a Accès en ligne pour les établissements français bénéficiaires des licences nationales | ||
| 506 | |a Accès soumis à abonnement pour tout autre établissement | ||
| 506 | |a Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 | ||
| 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 | ||
| 776 | 0 | |t Student s t-Distribution and Related Stochastic Processes |b Texte imprimé |z 9783642311451 | |
| 776 | 0 | |t Student's t-Distribution and Related Stochastic Processes |b Texte imprimé |z 9783642311475 | |
| 856 | 4 | |q PDF |u https://doi.org/10.1007/978-3-642-31146-8 |z Accès sur la plateforme de l'éditeur | |
| 856 | 4 | |u https://revue-sommaire.istex.fr/ark:/67375/8Q1-912PCH4Q-D |z Accès sur la plateforme Istex | |
| 856 | 4 | |5 452349901:748068813 |u https://ezproxy.univ-orleans.fr/login?url=https://dx.doi.org/10.1007/978-3-642-31146-8 |z Accès Université d'Orléans | |
| 856 | 4 | |5 180339901:751520683 |u https://ezproxy.insa-cvl.fr/login?qurl=https://dx.doi.org/10.1007/978-3-642-31146-8 |z Accès INSA CVL | |
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