Ole BarndorffNielsen
Ole Eiler BarndorffNielsen  

Ole BarndorffNielsen at the Levy conference in Copenhagen in August 2007.


Born 
Copenhagen 
March 18, 1935
Residence  Århus, Denmark 
Nationality  Danish 
Known for 
hyperbolic distribution, Information geometry, maximum likelihood estimator, Lévy processes, BarndorffNielsen Shephard stochastic volatility model 
Scientific career  
Fields  Mathematics 
Institutions 
University of Aarhus, University of Minnesota, Stanford University, Cambridge University, Technical University Munich, Université Paul Sabatier, Katholieke Universiteit Leuven 
Ole Eiler BarndorffNielsen (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 parttime 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 19621963 and 19631964 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 BarndorffNielsen 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 parttime basis^{[1]} and since 2008 also affiliated to Institute of Advanced Studies, Technical University Munich.
Contents
Works of BarndorffNielsen
Among BarndorffNielsen'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 normalinverse Gaussian (NIG) distribution, have later turned out to be useful in many other areas of science, in particular turbulence and finance. The NIGdistribution is now widely used to describe the distribution of returns from financial assets.
In 1984 he produced a short film^{[2]}^{[3]} on the physics of blown sand and the life of the British scientist and explorer Brigadier Ralph Alger Bagnold. A follow up to the film was produced in 2011 on the studies of stochastics in the physical sciences carried out by BarndorffNielsen and colleagues at the Faculty of Science, Aarhus University by the initiative of the President of the Bernoulli Society for Mathematical Statistics and Probability, Professor Victor PérezAbreu.^{[4]}
Later BarndorffNielsen played a leading role in the application of differential geometry to investigate statistical models. Another main contribution is his work on asymptotic methods in statistics, not least his formula for the conditional distribution of the maximum likelihood estimator given an ancillary statistic that generalizes a formula by Ronald A. Fisher (originally called the formula, but now known as the BarndorffNielsen formula). He has jointly with David Cox written two influential books on asymptotic techniques in statistics.^{[citation needed]} Since the mid90s BarndorffNielsen has worked on stochastic models in finance (often with Neil Shephard) and turbulence, on statistical methods for the analysis of data from experiments in quantum physics, and has contributed to the theory of Lévy processes.
Notable honors and positions held
BarndorffNielsen is a member of the Royal Danish Academy of Sciences and Letters and of Academia Europaea. He has received honorary doctorate degrees from the Université Paul Sabatier, Toulouse and the Katholieke Universiteit Leuven. In 19931995 he was a very influential president of the Bernoulli Society for Mathematical Statistics and Probability. He was the editor of International Statistical Review in 19801987 and of the journal Bernoulli in 19942000. From 1 April 1998 to 31 March 2003 he was Scientific Director of MaPhySto (the Centre for Mathematical Physics and Stochastics), which was a centre devoted to advanced research and training in the fields of mathematical physics and stochastics, as well as some closely related areas. In 2001 he received the Humboldt Prize and in 2010 the Faculty Price from Faculty of Science, Aarhus University.^{[5]}^{[6]}
See also
 Generalised hyperbolic distribution
 Generalized inverse Gaussian distribution
 Hyperbolic distribution
 Information geometry
 List of mathematicians
References
 ^ http://creates.au.dk/people/researchfellows/olebarndorffnielsen/
 ^ BarndorffNielsen, Ole. 1984. Blown Sand. (film). Archived 20070609 at the Wayback Machine. (MPEG, 196MB) Accessed 28 March 2009.
 ^ Video on YouTube
 ^ Video on YouTube
 ^ "Ole E. BarndorffNielsen (Curriculum Vitae)". University of Aarhus. Retrieved 14 May 2014.
 ^ "Dansk forsker modtager eftertragtet tysk pris [Danish researcher receives prestigious German prize]" (in Danish). University of Aarhus. 23 April 2015. Retrieved 14 May 2014.
 BarndorffNielsen, Ole (1978). Information and exponential families in statistical theory. Wiley Series in Probability and Mathematical Statistics. Chichester: John Wiley \& Sons, Ltd. pp. ix+238 pp. ISBN 0471995452. MR 0489333.
Further reading
 O. E. BarndorffNielsen, Ole E. BarndorffNielson and Victor PerezAbreu, Stochastic Methods in Hydrology: Rain, Landforms and Floods, World Scientific Publishing Company 1998
 Ole E BarndorffNielsen, Change of Time and Change of Measure (Second Edition), World Scientific Publishing Company 2015
 Kiyosi Ito, Ole E BarndorffNielsen and Keniti Sato, Stochastic Processes: Lectures given at Aarhus University, Springer 2010
 Ole E BarndorffNielsen, Thomas Mikosch and Sidney I. Resnick, Lévy Processes: Theory and Applications, Birkhäuser 2013
 O. BarndorffNielsen, Information and Exponential Families in Statistical Theory, Wiley 2014
External links
 BarndorffNielsen's CV at website of University of Aarhus.
 BarndorffNielsen's page in the directory of researchers at the International Center for Scientific Research
 Photo of BarndorffNielsen (1998) at the website Portraits of Statisticians
 MaPhyStohomepage for BarndorffNielsen. Also contains a newer photo.
 The Centre for Mathematical Physics and Stochastics.