reorder

Student’s T-Distribution And Related Stochastic Processes

About The 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.. 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

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.

Books > Statistics

Student’s T-Distribution And Related Stochastic Processes

Books > Statistics

Specifications of Student’s T-Distribution And Related Stochastic Processes

Category
Instockinstock

Last Updated

Student’s T-Distribution And Related Stochastic Processes
more variety

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.

Rating :- 8.62 /10
Votes :- 25