| 书目名称 | Student’s t-Distribution and Related Stochastic Processes |
| 编辑 | Bronius Grigelionis |
| 视频video | |
| 概述 | In-depth study of the infinite divisibility and self-decomposability properties of central and noncentral Student’s distributions.Extreme value theory for such diffusions is developed.Flexible and sta |
| 丛书名称 | SpringerBriefs in Statistics |
| 图书封面 |  |
| 描述 | 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. |
| 出版日期 | Book 2013 |
| 关键词 | Bessel function; Gaussian Lévy process; H-diffusion; Self-decomposability; Thorin subordinator |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-3-642-31146-8 |
| isbn_softcover | 978-3-642-31145-1 |
| isbn_ebook | 978-3-642-31146-8Series ISSN 2191-544X Series E-ISSN 2191-5458 |
| issn_series | 2191-544X |
| copyright | The Author(s) 2013 |
发表于 2025-3-21 17:17:09
