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SpringerBriefs in Statistics

Student’s t-Distribution and Related Stochastic Processes

Authors: Grigelionis, Bronius

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  • 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 statistically tractable Kolmogorov-Pearson diffusions are described
  •  
  • Extreme value theory for such diffusions is developed
  • Flexible and statistically tractable Kolmogorov-Pearson diffusions are described
  •  
  • Flexible and statistically tractable Kolmogorov-Pearson diffusions are described
  •  
  • Extreme value theory for such diffusions is developed
  • Flexible and statistically tractable Kolmogorov-Pearson diffusions are described
  •  
  • Flexible and statistically tractable Kolmogorov-Pearson diffusions are described
  •  
  • Flexible and statistically tractable Kolmogorov-Pearson diffusions are described
  •  
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About this book

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.

About the authors

Prof. Grigelionis is a senior research fellow at the Institute of Mathematics and Informatics of Vilnius University, member of the Lithuanian Academy of Sciences and the International Statistical Institute. He has done extensive research in stochastic analysis and its applications. These include the semimartingale characterisation of stochastic processes with conditionally independent increments and solutions of stochastic Ito's equations, stochastic nonlinear filtering equations, optimal stopping of stochastic processes - joint research with A. Shiryaev - criteria of weak convergence of stochastic processes - joint research with R. Mikulevičius - etc. His current research topics are the properties of mixed Gaussian distributions and related stochastic processes.

Reviews

“It is self-contained and summarizes the most recent results by the author related to t-distribution and their processes. … Grigelionis has pulled together an excellent overview in Student t-distribution and processes, which has not previously been available. The book is written at a highly scholarly level and should appeal to those with an interest in applied probability methodology and applications. It should be for students who have had an advanced course in probability.” (Stergios B. Fotopoulos, Technometrics, Vol. 58 (3), August, 2016)


Table of contents (7 chapters)

Table of contents (7 chapters)

Buy this book

eBook $29.99
price for USA in USD (gross)
  • ISBN 978-3-642-31146-8
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $39.95
price for USA in USD
  • ISBN 978-3-642-31145-1
  • Free shipping for individuals worldwide
  • Immediate ebook access, if available*, with your print order
  • Usually dispatched within 3 to 5 business days.
Rent the eBook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
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Bibliographic Information

Bibliographic Information
Book Title
Student’s t-Distribution and Related Stochastic Processes
Authors
Series Title
SpringerBriefs in Statistics
Copyright
2013
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
The Author(s)
eBook ISBN
978-3-642-31146-8
DOI
10.1007/978-3-642-31146-8
Softcover ISBN
978-3-642-31145-1
Series ISSN
2191-544X
Edition Number
1
Number of Pages
XI, 99
Topics

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