The Fascination of Probability, Statistics and their Applications

In Honour of Ole E. Barndorff-Nielsen
1. Auflage 2016
ISBN: 978-3-319-25824-9
Verlag: Springer International Publishing

Buch, Englisch, 527 Seiten, Format (B × H): 160 mm x 241 mm, Gewicht: 9398 g

Collecting together twenty-three self-contained articles, this volume presents the current research of a number of renowned scientists in both probability theory and statistics as well as their various applications in economics, finance, the physics of wind-blown sand, queueing systems, risk assessment, turbulence and other areas.

The contributions are dedicated to and inspired by the research of Ole E. Barndorff-Nielsen who, since the early 1960s, has been and continues to be a very active and influential researcher working on a wide range of important problems.

The topics covered include, but are not limited to, econometrics, exponential families, Lévy processes and infinitely divisible distributions, limit theory, mathematical finance, random matrices, risk assessment, statistical inference for stochastic processes, stochastic analysis and optimal control, time series, and turbulence. The book will be of interest to researchers and graduate students in probability, statistics and their applications.

Zielgruppe

Research

Autoren/Hrsg.

Podolskij, Mark

Veraart, Almut E. D.

Stelzer, Robert

Thorbjørnsen, Steen

Fachgebiete

• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Angewandte Mathematik, Mathematische Modelle
• Mathematik | Informatik Mathematik Stochastik Mathematische Statistik
• Mathematik | Informatik Mathematik Stochastik Wahrscheinlichkeitsrechnung

Inhaltsverzeichnis

Mark Podolskij, Robert Stelzer, Steen Thorbjørnsen, Almut E.D. Veraart: Preface.- Eva Vedel Jensen et al.: Ole E. Barndorff-Nielsen’s scientific contributions.- Michael Sørensen: On the size distribution of sand.-Björn Birnir: From Wind-Blown Sand to Turbulence and back.- José Ulises Márquez, Jürgen Schmiegel: Modelling Turbulent Time Series by BSS Processes.- Gérard Letac: Associate Natural Exponential Families and Elliptic Functions.- Per Aslak Mykland, Jianming Ye: Cumulants and Bartlett Identities in Cox Regression.- Martin Drapatz, Alexander Lindner: Exchangeability and Infinite Divisibility.- Peter Tankov: Lévy copulas: Review of Recent Results.- Fred Espen Benth, Asma Khedher: Weak Stationarity of Ornstein-Uhlenbeck Processes with Stochastic Speed of Mean Reversion.- Jorge M. Ramirez, Enrique A. Thomann, Edward C. Waymire: Continuity of Local Time: An Applied Perspective.- Bohan Chen, Carsten Chong, Claudia Klüppelberg: Simulation of Stochastic Volterra Equations Driven by Space–Time Lévy Noise.- Victor Pérez-Abreu, Alfonso Rocha-Arteaga on the Process of the Eigenvalues of a Hermitian Lévy Process.- Neil Shephard, Justin J. Yang: Likelihood Inference for Exponential-Trawl Processes.- Thibault Jaisson, Mathieu Rosenbaum: The Different Asymptotic Regimes of Nearly Unstable Autoregressive Processes.- Alessandra Luati, Tommaso Proietti: Generalised Partial Autocorrelations and the Mutual Information between Past and Future.- Jean Jacod, Viktor Todorov: Efficient Estimation of Integrated Volatility in Presence of Infinite Variation Jumps with Multiple Activity Indices.- MasayukiUchida, Nakahiro Yoshida: Model Selection for Volatility Prediction.-Peter Reinhard Hansen, Guillaume Horel, Asger Lunde, Ilya Archakov: A Markov Chain Estimator of Multivariate Volatility from High Frequency Data.- Paul Embrechts, Edgars Jakobsons: Dependence Uncertainty for Aggregate Risk: Examples and Simple Bounds.- Mark Davis

Über Autor(innen)

Mark Podolskij since 2014 Full Professor at Aarhus University; 2010-2014 Full Professor at Heidelberg University; PostDoc: 2008-2010 ETH Zurich, 2007-2008 University of Aarhus; 2006: PhD at Ruhr-University of Bochum. Research interests: Asymptotic theory for high frequency data, inference for stochastic processes, semimartingales, stochastic analysis, Malliavin calculus, Stein's method.

Robert Stelzer since 2011 Full Professor and Director of the Institute of Mathematical Finance at Ulm University; 2008-2011 Carl-von-Linde Junior Fellow at the Institute for Advanced Study, TU Munich; 2007: PhD at TU Munich. Research interests: Financial mathematics, stochastic volatility models, stochastic processes, Lévy processes, (multivariate) time series analysis, random matrices, extreme value theory.

Steen Thorbjørnsen since 2006 Associate Professor at the University of Aarhus; 2003-2006 Associate Professor at the University of Southern Denmark; 2000-2003 Assistant Professorat the University of Southern Denmark; 1999 Ph.D at the University of Southern Denmark. Research interests: Free probability theory, Random matrices, Lévy processes and bases, operator algebras.

Almut E. D. Veraart since 2014 Reader in Statistics at Imperial College London; 2011-2014 Lecturer in Statistics at Imperial College London; 2010-2011 Assistant Professor, Aarhus University, 2007-2010 Postdoc, Aarhus University; 2008: DPhil in Statistics at University of Oxford. Research interests: Statistical inference for stochastic processes, applied probability, financial econometrics, financial mathematics; stochastic volatility models, Lévy processes, high frequency data, ambit stochastics, stochastic modelling of energy markets.