Overview
- 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
- Includes supplementary material: sn.pub/extras
Part of the book series: SpringerBriefs in Statistics (BRIEFSSTATIST)
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Table of contents (7 chapters)
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)
Authors and Affiliations
About the author
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.
Bibliographic Information
Book Title: Student’s t-Distribution and Related Stochastic Processes
Authors: Bronius Grigelionis
Series Title: SpringerBriefs in Statistics
DOI: https://doi.org/10.1007/978-3-642-31146-8
Publisher: Springer Berlin, Heidelberg
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: The Author(s) 2013
Softcover ISBN: 978-3-642-31145-1Published: 18 September 2012
eBook ISBN: 978-3-642-31146-8Published: 18 September 2012
Series ISSN: 2191-544X
Series E-ISSN: 2191-5458
Edition Number: 1
Number of Pages: XI, 99
Topics: Statistics, general