New PDF release: Student’s t-Distribution and Related Stochastic Processes

By Bronius Grigelionis

ISBN-10: 3642311458

ISBN-13: 9783642311451

ISBN-10: 3642311466

ISBN-13: 9783642311468

This short monograph is an in-depth research of the limitless divisibility and self-decomposability houses of important and noncentral Student’s distributions, represented as variance and mean-variance combinations of multivariate Gaussian distributions with the reciprocal gamma blending distribution. those effects let us outline and examine Student-Lévy tactics as Thorin subordinated Gaussian Lévy procedures. A extensive classification of one-dimensional, strictly desk bound diffusions with the Student’s t-marginal distribution are outlined because the targeted susceptible answer for the stochastic differential equation. utilizing the independently scattered random measures generated by way of the bi-variate focused Student-Lévy strategy, and stochastic integration idea, a univariate, strictly desk bound method with the targeted Student’s t- marginals and the arbitrary correlation constitution are outlined. As a promising path for destiny paintings in developing and analysing new multivariate Student-Lévy sort tactics, the proposal of Lévy copulas and the comparable analogue of Sklar’s theorem are explained.

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Extra info for Student’s t-Distribution and Related Stochastic Processes

Example text

Let Bessβ,λ , β > 0, λ > 0, be a probability distribution on R+ , defined by the formula: Bessβ,λ (dx) = e−λ ε0 (dx) + βe−λ−βx I1 2 βλx dx. Because ∞ e−θ x f β,γ ,λ (x)dx = e−λ β(βλ)γ −1 ∞ e−(β+θ)x j=0 0 = e−λ = β θ +β β θ +β γ e γ ∞ j=0 −λθ θ+β 1 j! (βλx) j j! (k + 1)! −λθ 1 = e θ+β , (k + 1)! we find that β,γ ,λ = β,γ ∗ Bessβ,λ , implying equalities: β,γ1 ,λ1 ∗ β,γ1 ,λ β,γ2 ,λ2 ∗ β,γ2 = = β,γ1 +γ2 ,λ1 +λ2 , β,γ1 +γ2 ,λ and β,γ ,λ1 ∗ Bessβ,λ2 = β,γ ,λ1 +λ2 . 14) it follows that ∞ e−θ x f β,γ ,λ (x)dx = exp 0 ⎧ ⎨ ∞ e−θu − 1 ⎩ ⎫ ⎬ γ + λ e−βu du , ⎭ u 0 proving that the noncentral gamma distributions are infinitely divisible on R+ with characteristics (0, lβ,γ ,λ (u)du), where lβ,γ ,λ (u) = γ + λ e−βu , u > 0.

4 (i) The noncentral Student OU-type processes are generated by the BDLP Z = {Z t , t ≥ 0} with the triples of Lévy characteristics (γa , 0, a ), where γa = xπa (x)dx + α, α, a ∈ R d , {|x|≤1} a (B) = πa (x)d x, B B ∈ B(R0d ), 56 5 Student OU-Type Processes πa (x) = − d r d la (r ξ ) |r ξ =x dr and 2ν exp la (x) = √ d | |(2π ) 2 × Kd 2 (a ∞ −1 , x a x −1 −1 , x d 4 a −1 , a + 2t d 4 0 , a + 2t) x −1 ,x 1 2 g ν2 (2νt). (ii) The noncentral Student OU-type process X (a) , generated by the BDLP Z with the triplet of Lévy characteristics (γa , 0, a ) and L(X 0 ) = Td (ν, , α, a) is strictly stationary Markov process.

5 (i) The Student-Lévy process X = {X t , t ≥ 0} has the following structure: X t = G Tt + αt, t ≥ 0, where G = {G t , t ≥ 0} is a Gaussian Lévy process with the triplet (0, , 0) of Lévy characteristics and T = {Tt , t ≥ 0} is an independent of G Lévy subordinator such that ν L (T1 ) = G I G − , ν, 0 . 16) 0 ), where xl0 (x)dx + α, {|x|≤1} 0 (B) = l0 (x)dx, B ∈ B(R0d ), B and d d ν2 4 +1 ( x −1 , x )− 4 l0 (x) = √ d | |(2π ) 2 (iii) X is self-decomposable. ∞ d u4 Kd 2 0 2t x −1 ,x 1 2 g ν2 (2νt)dt.

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Student’s t-Distribution and Related Stochastic Processes by Bronius Grigelionis

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