On some results of Cufaro Petroni about Student t-processes

DOI10.1088/1751-8113/41/26/265004MaRDI QIDQ3516263zbMATH OpenOpenAlexFDO

Authors Christian Berg, Christophe Vignat

Publication date 1 August 2008

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

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

Mathematics Subject Classification ID

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

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.

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(4)

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

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