Ole Barndorff-Nielsen

Ole Eiler Barndorff -Nielsen ( born March 18, 1935 in Copenhagen ) is a Danish mathematician whose specialty is in the area of ​​statistics. He is the namesake of the Barndorff -Nielsen formula for the maximum likelihood estimator and the stochastic after him and Neil Shephard named Barndorff -Nielsen - Shephard model volatilities.

Career

After Barndorff -Nielsen had acquired in 1954 with a mathematics and science student university entrance exam, he began studying at the University of Aarhus, he in June 1960 with the degree of Scient Mag. graduated in mathematics and mathematical statistics. In parallel, he worked 1954-1958 in the Department of Biostatistics at the Statens Serum Institut, and then until 1960 as an assistant at the University of Copenhagen.

As of July 1960 Barndorff -Nielsen worked as a lecturer at the Mathematics Department at the University of Aarhus. In 1973 he was appointed professor and took over the chair of the department of theoretical statistics. In the following years he became involved in national and international organizations. He is a member of the Royal Danish Academy of Sciences, Academia Europaea and was in the early 1990s, President of the Bernoulli Society for Mathematical Statistics and Probability. In 1997 he was elected Chairman of the European Research Centres on Mathematics and the European Mathematical Society.

Teaching and research

Barndorff -Nielsen employed in the beginning of his academic career with the basics of statistics, but also special distribution classes like those of the exponential type ( Exponential Family). With his work on the Hyperbolic distribution and the development of the so-called " Generalized hyperbolic distribution", he laid the foundation for a deeper mathematical modeling example of turbulence and the description of the distribution of returns.

Early 1980s came Barndorff -Nielsen especially in the field of asymptotic statistics in appearance. In 1983, he developed a formula for the maximum likelihood estimator for a given anzillärer statistics, which was later named after him. Together with David Cox, he wrote influential books on techniques of asymptotic statistics.

Since the 1990s, Barndorff -Nielsen joined with publications on the theory of Lévy processes in appearance and worked on statistical models for the analysis of experiments in quantum physics.

Recently, Barndorff -Nielsen dealt with the statistical study of semimartingales, in particular, he was concerned with the estimation of certain sizes in Ito processes. This involves, for example, about to estimate the integrated volatility of an Ito process.

His latest work I befassens especially with the statistical analysis of non- semimartingales. Mentioned here are the so-called Ambiit processes, especially with Brownian Semi stationary processes or Levy Semi stationary processes, which form a special class of Ambit processes.