Ole Barndorff-Nielsen
| Ole Eiler Barndorff-Nielsen | |
|---|---|
Ole Barndorff-Nielsen at the Levy conference in Copenhagen in August 2007.
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| Born |
March 18, 1935 Copenhagen |
| Residence | Århus, Denmark |
| Nationality | Danish |
| Fields | Mathematics |
| Institutions |
University of Aarhus, University of Minnesota, Stanford University, Cambridge University, Technical University Munich, Université Paul Sabatier, Katholieke Universiteit Leuven |
| Known for |
hyperbolic distribution, Information geometry, maximum likelihood estimator, Lévy processes, Barndorff-Nielsen Shephard model |
Ole Eiler Barndorff-Nielsen (born 18 March 1935 in Copenhagen) is a Danish statistician who has contributed to many areas of statistical science. He became interested in statistics when, as a student of actuarial mathematics, he worked part-time at the Department of Biostatistics of the Danish State Serum Institute. He graduated from the University of Aarhus (Denmark) in 1960, where he has spent most of his academic life, and where he became professor of statistics in 1973. However, in 1962-1963 and 1963-1964 he stayed at the University of Minnesota and Stanford University, respectively, and from August 1974 to February 1975 he was an Overseas Fellow at Churchill College, Cambridge, and visitor at Statistical Laboratory, Cambridge University.
Today Barndorff-Nielsen is Professor Emeritus at Aarhus University at the Thiele Centre for Applied Mathematics in Natural Science and affiliated with the Center for Research in Econometric Analysis of Time Series (CREATES) on a part-time basis and since 2008 also affiliated to Institute of Advanced Studies, Technical University Munich.
Among Barndorff-Nielsen's early scientific contributions are his work on exponential families and on the foundations of statistics, in particular sufficiency and conditional inference. In 1977 he introduced the hyperbolic distribution as a mathematical model of the size distribution of sand grains, formalising heuristic ideas proposed by Ralph Alger Bagnold. He also derived the larger class of generalised hyperbolic distributions. These distributions, in particular the normal-inverse Gaussian (NIG) distribution, have later turned out to be useful in many other areas of science, in particular turbulence and finance. The NIG-distribution is now widely used to describe the distribution of returns from financial assets.
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