| 000 | 02347cam a22003372 b4500 | ||
|---|---|---|---|
| 001 | 10192925 | ||
| 003 | OSt | ||
| 005 | 20150408114227.0 | ||
| 006 | m d | ||
| 007 | cr n | ||
| 008 | 120517e20120918nju s|||||||| 2|eng|d | ||
| 020 | _a9783642311451 | ||
| 020 |
_a3642311458 (Trade Paper) _cUSD 39.95 Retail Price (Publisher) |
||
| 024 | 3 | _a9783642311451 | |
| 035 | _a(WaSeSS)ssj0000767198 | ||
| 037 |
_a3642311458 _b00024965 |
||
| 040 |
_aBIP US _dWaSeSS |
||
| 082 |
_222 _a519.083 _bGBS |
||
| 100 | 1 |
_aGrigelionis, Bronius _eAuthor |
|
| 210 | 1 | 0 | _aStudent's T-Distribution and Related Stochastic Processes |
| 245 | 1 | 0 |
_aStudent's T-Distribution and Related Stochastic Processes _h[electronic resource] |
| 260 |
_aNew York : _bSpringer _cSept. 2012 |
||
| 440 | 0 | _aSpringerBriefs in Statistics Ser. | |
| 506 | _aLicense restrictions may limit access. | ||
| 520 | 8 |
_aAnnotation _bThis 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. |
|
| 521 |
_aScholarly & Professional _bSpringer |
||
| 773 | 0 | _tSpringerLink ebooks - Mathematics and Statistics (2013) | |
| 856 | 4 | 0 |
_uhttp://www.columbia.edu/cgi-bin/cul/resolve?clio10192925 _zFull text available from SpringerLink ebooks - Mathematics and Statistics (2013) |
| 910 | _aBowker Global Books in Print record | ||
| 942 |
_2ddc _cBOOK |
||
| 999 |
_c36083 _d270583 |
||