02347cam a22003372 b4500 10192925 OSt 20150408114227.0 m d cr n 120517e20120918nju s|||||||| 2|eng|d 9783642311451 3642311458 (Trade Paper) USD 39.95 Retail Price (Publisher) 9783642311451 (WaSeSS)ssj0000767198 3642311458 00024965 BIP US WaSeSS 22 519.083 GBS Grigelionis, Bronius Author Student's T-Distribution and Related Stochastic Processes Student's T-Distribution and Related Stochastic Processes [electronic resource] New York : Springer Sept. 2012 SpringerBriefs in Statistics Ser. License restrictions may limit access. Annotation This brief monograph is an in-depth study of the infinite divisibility and self-decomposability properties of central and noncentral Students 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 Students 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 Students 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 Sklars theorem are explained. Scholarly & Professional Springer SpringerLink ebooks - Mathematics and Statistics (2013) http://www.columbia.edu/cgi-bin/cul/resolve?clio10192925 Full text available from SpringerLink ebooks - Mathematics and Statistics (2013) Bowker Global Books in Print record ddc BOOK 36083 270583 0 2014-10-22 0 0 519.083 GBS 2014-10-22 CL 00405259 CL 2014-10-22 00:00:00 BOOK ddc 0 0 2014-10-22 0 0 519.083 GBS 2014-10-22 CL 00405260 CL 2014-10-22 00:00:00 BOOK ddc 0 0 2014-10-22 0 0 519.083 GBS 2014-10-22 CL 00405261 CL 2014-10-22 00:00:00 BOOK ddc 0