On some results of Cufaro Petroni about Student t-processes

DOI10.1088/1751-8113/41/26/265004zbMATH Open1144.60033arXiv0803.3198OpenAlexW2040129611MaRDI QIDQ3516263FDOQ3516263

Authors: Christian Berg, Christophe Vignat 

Publication date: 1 August 2008

Published in: Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Abstract: This paper deals with Student t-processes as studied in (Cufaro Petroni N 2007 J. Phys. A, Math. Theor. 40(10), 2227-2250). We prove and extend some conjectures expressed by Cufaro Petroni about the asymptotical behavior of a Student t-process and the expansion of its density. First, the explicit asymptotic behavior of any real positive convolution power of a Student t-density with any real positive degrees of freedom is given in the multivariate case; then the integer convolution power of a Student t-distribution with odd degrees of freedom is shown to be a convex combination of Student t-densities with odd degrees of freedom. At last, we show that this result does not extend to the case of non-integer convolution powers.

Full work available at URL: https://arxiv.org/abs/0803.3198

Recommendations

• Student's \(t\)-distribution and related stochastic processes
• On the density of the sum of two independent Student \(t\)-random vectors
• On the characteristic function of multivariate Studentt-distribution
• A generalization of Student'st-distribution from the viewpoint of special functions
• Exact distribution of the product of \(N\) Student's \(t\) RVs

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Stationary stochastic processes (60G10)

Cited In (4)

• High-order approximation of Pearson diffusion processes
• Derivation of an integral of Boros and Moll via convolution of Student \(t\)-densities
• Local asymptotic normality for Student-Lévy processes under high-frequency sampling
• On the density of the sum of two independent Student \(t\)-random vectors

This page was built for publication: On some results of Cufaro Petroni about Student t-processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3516263)