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The Fascination of Probability, Statistics and their Applications

In Honour of Ole E. Barndorff-Nielsen

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  • © 2016

Overview

Editors:
  1. Mark Podolskij

    1. Department of Mathematics, University of Aarhus, Aarhus, Denmark

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  2. Robert Stelzer

    1. Institute of Mathematical Finance, Ulm University, Ulm, Germany

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  3. Steen Thorbjørnsen

    1. Department of Mathematics, University of Aarhus, Aarhus C, Denmark

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  4. Almut E. D. Veraart

    1. Department of Mathematics Huxley Building, Room 551, Imperial College London, London, United Kingdom

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  • Honors the numerous scientific achievements of Ole E. Barndorff-Nielsen on the occasion of his 80th birthday

  • Presents fascinating current research results regarding the theory of probability, statistics, as well as their applications

  • Includes contributions by international experts

  • Includes supplementary material: sn.pub/extras

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Table of contents (23 chapters)

  1. Front Matter

    Pages i-xviii
    Download chapter PDF

  2. On the Size Distribution of Sand

    • Michael Sørensen
    Pages 1-13

  3. From Wind-Blown Sand to Turbulence and Back

    • Björn Birnir
    Pages 15-27

  4. Modelling Turbulent Time Series by BSS-Processes

    • José Ulises Márquez, Jürgen Schmiegel
    Pages 29-52

  5. Associated Natural Exponential Families and Elliptic Functions

    • Gérard Letac
    Pages 53-83

  6. Cumulants and Bartlett Identities in Cox Regression

    • Per Aslak Mykland, Jianming Ye
    Pages 85-97

  7. Exchangeability and Infinite Divisibility

    • Martin Drapatz, Alexander Lindner
    Pages 99-126

  8. Lévy Copulas: Review of Recent Results

    • Peter Tankov
    Pages 127-151

  9. Weak Stationarity of Ornstein-Uhlenbeck Processes with Stochastic Speed of Mean Reversion

    • Fred Espen Benth, Asma Khedher
    Pages 153-189

  10. Continuity of Local Time: An Applied Perspective

    • Jorge M. Ramirez, Enirque A. Thomann, Edward C. Waymire
    Pages 191-207

  11. Simulation of Stochastic Volterra Equations Driven by Space–Time Lévy Noise

    • Bohan Chen, Carsten Chong, Claudia Klüppelberg
    Pages 209-229

  12. On the Process of the Eigenvalues of a Hermitian Lévy process

    • Victor Pérez-Abreu, Alfonso Rocha-Arteaga
    Pages 231-249

  13. Likelihood Inference for Exponential-Trawl Processes

    • Neil Shephard, Justin J. Yang
    Pages 251-281

  14. The Different Asymptotic Regimes of Nearly Unstable Autoregressive Processes

    • Thibault Jaisson, Mathieu Rosenbaum
    Pages 283-301

  15. Generalised Partial Autocorrelations and the Mutual Information Between Past and Future

    • Alessandra Luati, Tommaso Proietti
    Pages 303-315

  16. Efficient Estimation of Integrated Volatility in Presence of Infinite Variation Jumps with Multiple Activity Indices

    • Jean Jacod, Viktor Todorov
    Pages 317-341

  17. Model Selection for Volatility Prediction

    • Masayuki Uchida, Nakahiro Yoshida
    Pages 343-360

  18. A Markov Chain Estimator of Multivariate Volatility from High Frequency Data

    • Peter Reinhard Hansen, Guillaume Horel, Asger Lunde, Ilya Archakov
    Pages 361-394

  19. Dependence Uncertainty for Aggregate Risk: Examples and Simple Bounds

    • Paul Embrechts, Edgars Jakobsons
    Pages 395-417

  20. A Beaufort Scale of Predictability

    • Mark H. A. Davis
    Pages 419-434
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Keywords

About this book

Collecting together twenty-three self-contained articles, this volume presents the current research of a number of renowned scientists in both probability theory and statistics as well as their various applications in economics, finance, the physics of wind-blown sand, queueing systems, risk assessment, turbulence and other areas.

The contributions are dedicated to and inspired by the research of Ole E. Barndorff-Nielsen who, since the early 1960s, has been and continues to be a very active and influential researcher working on a wide range of important problems.

The topics covered include, but are not limited to, econometrics, exponential families, Lévy processes and infinitely divisible distributions, limit theory, mathematical finance, random matrices, risk assessment, statistical inference for stochastic processes, stochastic analysis and optimal control, time series, and turbulence. The book will be of interest to researchers and graduate students in probability, statistics and their applications.


 

Reviews

“The book is organized and structured well; most of the chapters are self-contained. This book includes many useful topics and techniques for established, early career researchers and doctoral students alike. … this edited volume will be of interest to researchers working in this area. The book offers substantial and stimulating information and knowledge for the benefit of a host of a larger research group. I enjoyed reading some of the chapters of the book and found them interesting and useful.” (S. Ejaz Ahmed, Technometrics, Vol. 59 (1), January, 2017)

Editors and Affiliations

  • Department of Mathematics, University of Aarhus, Aarhus, Denmark

    Mark Podolskij

  • Institute of Mathematical Finance, Ulm University, Ulm, Germany

    Robert Stelzer

  • Department of Mathematics, University of Aarhus, Aarhus C, Denmark

    Steen Thorbjørnsen

  • Department of Mathematics Huxley Building, Room 551, Imperial College London, London, United Kingdom

    Almut E. D. Veraart

About the editors

Mark Podolskij since 2014 Full Professor at Aarhus University; 2010-2014 Full Professor at Heidelberg University; PostDoc: 2008-2010 ETH Zurich, 2007-2008 University of Aarhus; 2006: PhD at Ruhr-University of Bochum. Research interests: Asymptotic theory for high frequency data, inference for stochastic processes, semimartingales, stochastic analysis, Malliavin calculus, Stein's method.

Robert Stelzer since 2011 Full Professor and Director of the Institute of Mathematical Finance at Ulm University; 2008-2011 Carl-von-Linde Junior Fellow at the Institute for Advanced Study, TU Munich; 2007: PhD at TU Munich. Research interests: Financial mathematics, stochastic volatility models, stochastic processes, Lévy processes, (multivariate) time series analysis, random matrices, extreme value theory.

Steen Thorbjørnsen since 2006 Associate Professor at the University of Aarhus; 2003-2006 Associate Professor at the University of Southern Denmark; 2000-2003 Assistant Professor at the University of Southern Denmark; 1999 Ph.D at the University of Southern Denmark. Research interests: Free probability theory, Random matrices, Lévy processes and bases, operator algebras.

Almut E. D. Veraart since 2014 Reader in Statistics at Imperial College London; 2011-2014 Lecturer in Statistics at Imperial College London; 2010-2011 Assistant Professor, Aarhus University, 2007-2010 Postdoc, Aarhus University; 2008: DPhil in Statistics at University of Oxford. Research interests: Statistical inference for stochastic processes, applied probability, financial econometrics, financial mathematics; stochastic volatility models, Lévy processes, high frequency data, ambit stochastics, stochastic modelling of energy markets.


Bibliographic Information

  • Book Title: The Fascination of Probability, Statistics and their Applications

  • Book Subtitle: In Honour of Ole E. Barndorff-Nielsen

  • Editors: Mark Podolskij, Robert Stelzer, Steen Thorbjørnsen, Almut E. D. Veraart

  • DOI: https://doi.org/10.1007/978-3-319-25826-3

  • Publisher: Springer Cham

  • eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)

  • Copyright Information: Springer International Publishing Switzerland 2016

  • Hardcover ISBN: 978-3-319-25824-9Published: 06 January 2016

  • Softcover ISBN: 978-3-319-79847-9Published: 31 March 2018

  • eBook ISBN: 978-3-319-25826-3Published: 26 December 2015

  • Edition Number: 1

  • Number of Pages: XVIII, 527

  • Number of Illustrations: 26 b/w illustrations, 34 illustrations in colour

  • Topics: Probability Theory and Stochastic Processes, Quantitative Finance, Statistical Theory and Methods

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