Student processes

Chris C. Heyde; N. N. Leonenko

doi:10.1239/aap/1118858629

Student processes

Chris C. Heyde^*, N. N. Leonenko

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

92 Citations (Scopus)

Abstract

Stochastic processes with Student marginals and various types of dependence structure, allowing for both short- and long-range dependence, are discussed in this paper. A particular motivation is the modelling of risky asset time series.

Original language	English
Pages (from-to)	342-365
Number of pages	24
Journal	Advances in Applied Probability
Volume	37
Issue number	2
DOIs	https://doi.org/10.1239/aap/1118858629
Publication status	Published - Jun 2005

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title = "Student processes",

abstract = "Stochastic processes with Student marginals and various types of dependence structure, allowing for both short- and long-range dependence, are discussed in this paper. A particular motivation is the modelling of risky asset time series.",

keywords = "Long-range dependence, Ornstein-Uhlenbeck-type process, Self-decomposability, Student distribution",

author = "Heyde, {Chris C.} and Leonenko, {N. N.}",

year = "2005",

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AU - Heyde, Chris C.

AU - Leonenko, N. N.

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AB - Stochastic processes with Student marginals and various types of dependence structure, allowing for both short- and long-range dependence, are discussed in this paper. A particular motivation is the modelling of risky asset time series.

KW - Long-range dependence

KW - Ornstein-Uhlenbeck-type process

KW - Self-decomposability

KW - Student distribution

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DO - 10.1239/aap/1118858629

M3 - Article

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VL - 37

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EP - 365

JO - Advances in Applied Probability

JF - Advances in Applied Probability

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ER -

Student processes

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