Student s t Distribution and Related Stochastic Processes is popular PDF and ePub book, written by Bronius Grigelionis in 2012-09-18, it is a fantastic choice for those who relish reading online the Mathematics genre. Let's immerse ourselves in this engaging Mathematics book by exploring the summary and details provided below. Remember, Student s t Distribution and Related Stochastic Processes can be Read Online from any device for your convenience.
Student s t Distribution and Related Stochastic Processes Book PDF 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.
Detail Book of Student s t Distribution and Related Stochastic Processes PDF
- Author : Bronius Grigelionis
- Release : 18 September 2012
- Publisher : Springer Science & Business Media
- ISBN : 9783642311451
- Genre : Mathematics
- Total Page : 105 pages
- Language : English
- PDF File Size : 21,6 Mb
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