Ole Eiler Barndorff-Nielsen (18 March, 1935 – 26 June, 2022) was a

Danish Danish may refer to: * Something of, from, or related to the country of Denmark People * A national or citizen of Denmark, also called a "Dane," see Demographics of Denmark * Culture of Denmark * Danish people or Danes, people with a Danish ance ...

statistician A statistician is a person who works with theoretical or applied statistics. The profession exists in both the private and public sectors. It is common to combine statistical knowledge with expertise in other subjects, and statisticians may wor ...

who has contributed to many areas of

statistical science ''Statistical Science'' is a review journal published by the Institute of Mathematical Statistics. The founding editor was Morris H. DeGroot, who explained the mission of the journal in his 1986 editorial: "A central purpose of ''Statistical Sci ...

Education and career

He was born in

Copenhagen Copenhagen ( or .; da, København ) is the capital and most populous city of Denmark, with a proper population of around 815.000 in the last quarter of 2022; and some 1.370,000 in the urban area; and the wider Copenhagen metropolitan ar ...

, and became interested in statistics when, as a student of actuarial mathematics at the

University of Copenhagen The University of Copenhagen ( da, Københavns Universitet, KU) is a prestigious public university, public research university in Copenhagen, Copenhagen, Denmark. Founded in 1479, the University of Copenhagen is the second-oldest university in ...

, he worked part-time at the Department of

Biostatistics Biostatistics (also known as biometry) are the development and application of statistical methods to a wide range of topics in biology. It encompasses the design of biological experiments, the collection and analysis of data from those experime ...

of the Danish State Serum Institute. He graduated from the

University of Aarhus Aarhus University ( da, Aarhus Universitet, abbreviated AU) is a public research university with its main campus located in Aarhus, Denmark. It is the second largest and second oldest university in Denmark. The university is part of the Coimbra Gr ...

(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 The University of Minnesota, formally the University of Minnesota, Twin Cities, (UMN Twin Cities, the U of M, or Minnesota) is a public university, public Land-grant university, land-grant research university in the Minneapolis–Saint Paul, Tw ...

and

Stanford University Stanford University, officially Leland Stanford Junior University, is a private research university in Stanford, California. The campus occupies , among the largest in the United States, and enrolls over 17,000 students. Stanford is consider ...

, respectively, and from August 1974 to February 1975 he was an Overseas Fellow at

Churchill College Churchill College is a constituent college of the University of Cambridge, England. It has a primary focus on science, engineering and technology, but still retains a strong interest in the arts and humanities. In 1958, a trust was establish ...

Cambridge Cambridge ( ) is a university city and the county town in Cambridgeshire, England. It is located on the River Cam approximately north of London. As of the 2021 United Kingdom census, the population of Cambridge was 145,700. Cambridge bec ...

, and visitor at Statistical Laboratory,

Cambridge University , mottoeng = Literal: From here, light and sacred draughts. Non literal: From this place, we gain enlightenment and precious knowledge. , established = , other_name = The Chancellor, Masters and Schola ...

. Barndorff-Nielsen became 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 The Technical University of Munich (TUM or TU Munich; german: Technische Universität München) is a public research university in Munich, Germany. It specializes in engineering, technology, medicine, and applied and natural sciences. Establis ...

Works of Barndorff-Nielsen

Among Barndorff-Nielsen's early scientific contributions are his work on

exponential families In probability and statistics, an exponential family is a parametric set of probability distributions of a certain form, specified below. This special form is chosen for mathematical convenience, including the enabling of the user to calculate ...

and on the

foundations of statistics The foundations of statistics concern the epistemological debate in statistics over how one should conduct inductive inference from data. Among the issues considered in statistical inference are the question of Bayesian inference versus frequentist ...

, in particular sufficiency and conditional inference. In 1977 he introduced the

hyperbolic distribution The hyperbolic distribution is a continuous probability distribution characterized by the logarithm of the probability density function being a hyperbola. Thus the distribution decreases exponentially, which is more slowly than the normal distribu ...

as a mathematical model of the size distribution of

sand grain Sand is a granular material composed of finely divided mineral particles. Sand has various compositions but is defined by its grain size. Sand grains are smaller than gravel and coarser than silt. Sand can also refer to a soil texture, textur ...

s, formalising heuristic ideas proposed by

Ralph Alger Bagnold Brigadier Ralph Alger Bagnold, OBE, FRS, (3 April 1896 – 28 May 1990) was an English 20th-century desert explorer, geologist and soldier. In 1932, he staged the first recorded East-to-West crossing of the Libyan Desert. His work in the fi ...

. He also derived the larger class of

generalised hyperbolic distribution The generalised hyperbolic distribution (GH) is a continuous probability distribution defined as the normal variance-mean mixture where the mixing distribution is the generalized inverse Gaussian distribution (GIG). Its probability density functi ...

s. 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 In fluid dynamics, turbulence or turbulent flow is fluid motion characterized by chaotic changes in pressure and flow velocity. It is in contrast to a laminar flow, which occurs when a fluid flows in parallel layers, with no disruption between ...

and

finance Finance is the study and discipline of money, currency and capital assets. It is related to, but not synonymous with economics, the study of production, distribution, and consumption of money, assets, goods and services (the discipline of fina ...

. The NIG-distribution is now widely used to describe the distribution of returns from financial assets. In 1984 he produced a short film on the physics of blown sand and the life of the British scientist and explorer Brigadier

. A follow up to the film was produced in 2011 on the studies of stochastics in the physical sciences carried out by Barndorff-Nielsen 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 Pérez-Abreu. Later Barndorff-Nielsen played a leading role in the application of differential geometry to investigate statistical models. Another main contribution is his work on

asymptotic In analytic geometry, an asymptote () of a curve is a line such that the distance between the curve and the line approaches zero as one or both of the ''x'' or ''y'' coordinates tends to infinity. In projective geometry and related contexts, ...

methods in statistics, not least his formula for the

conditional distribution In probability theory and statistics, given two jointly distributed random variables X and Y, the conditional probability distribution of Y given X is the probability distribution of Y when X is known to be a particular value; in some cases the co ...

of the

maximum likelihood estimator In statistics, maximum likelihood estimation (MLE) is a method of estimating the parameters of an assumed probability distribution, given some observed data. This is achieved by maximizing a likelihood function so that, under the assumed statist ...

given an

ancillary statistic An ancillary statistic is a measure of a sample whose distribution (or whose pmf or pdf) does not depend on the parameters of the model. An ancillary statistic is a pivotal quantity that is also a statistic. Ancillary statistics can be used to ...

that generalizes a formula by

Ronald A. Fisher Sir Ronald Aylmer Fisher (17 February 1890 – 29 July 1962) was a British polymath who was active as a mathematician, statistician, biologist, geneticist, and academic. For his work in statistics, he has been described as "a genius who a ...

(originally called the

p^*

-formula, but now known as the Barndorff-Nielsen formula). He has jointly with David Cox written two influential books on asymptotic techniques in statistics. Since the mid-90s Barndorff-Nielsen has worked on

stochastic model In probability theory and related fields, a stochastic () or random process is a mathematical object usually defined as a family of random variables. Stochastic processes are widely used as mathematical models of systems and phenomena that appea ...

s in finance (often with

Neil Shephard Neil Shephard (born 8 October 1964), FBA, is an econometrician, currently Frank B. Baird Jr., Professor of Science in the Department of Economics and the Department of Statistics at Harvard University. His most well known contributions are ...

) and turbulence, on statistical methods for the analysis of data from experiments in

quantum physics Quantum mechanics is a fundamental theory in physics that provides a description of the physical properties of nature at the scale of atoms and subatomic particles. It is the foundation of all quantum physics including quantum chemistry, qua ...

, and has contributed to the theory of

Lévy processes Levy, Lévy or Levies may refer to: People * Levy (surname), people with the surname Levy or Lévy * Levy Adcock (born 1988), American football player * Levy Barent Cohen (1747–1808), Dutch-born British financier and community worker * Levy ...

Notable honors and positions held

Barndorff-Nielsen is a member of the

Royal Danish Academy of Sciences and Letters {{Infobox organization , name = The Royal Danish Academy of Sciences and Letters , full_name = , native_name = Det Kongelige Danske Videnskabernes Selskab , native_name_lang = , logo = Royal ...

and of

Academia Europaea The Academia Europaea is a pan-European Academy of Humanities, Letters, Law, and Sciences. The Academia was founded in 1988 as a functioning Europe-wide Academy that encompasses all fields of scholarly inquiry. It acts as co-ordinator of Europea ...

. He has received

honorary doctorate An honorary degree is an academic degree for which a university (or other degree-awarding institution) has waived all of the usual requirements. It is also known by the Latin phrases ''honoris causa'' ("for the sake of the honour") or ''ad hon ...

degrees from the

Université Paul Sabatier Paul Sabatier University (''Université Paul Sabatier'', UPS, also known as Toulouse III) is a French public university, in the Academy of Toulouse. It is one of the several successor universities of the University of Toulouse. Toulouse III was ...

, Toulouse and the

Katholieke Universiteit Leuven KU Leuven (or Katholieke Universiteit Leuven) is a Catholic research university in the city of Leuven, Belgium. It conducts teaching, research, and services in computer science, engineering, natural sciences, theology, humanities, medicine, l ...

. In 1993-1995 he was a very influential president of the

Bernoulli Society for Mathematical Statistics and Probability The Bernoulli Society is a professional association which aims to further the progress of probability and mathematical statistics, founded as part of the International Statistical Institute in 1975. It is named after the Bernoulli family of mathema ...

. He was the editor of ''International Statistical Review'' in 1980-1987 and of the journal ''Bernoulli'' in 1994–2000. 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 The Humboldt Prize, the Humboldt-Forschungspreis in German, also known as the Humboldt Research Award, is an award given by the Alexander von Humboldt Foundation of Germany to internationally renowned scientists and scholars who work outside of G ...

and in 2010 the Faculty Price from Faculty of Science, Aarhus University.

Bibliography

*O. E. Barndorff-Nielsen, V. K. Gupta, Victor Pérez-Abreu, and E. Waymire (eds.)
''Stochastic Methods in Hydrology: Rain, Landforms and Floods''
World Scientific Publishing Company 1998 *Ole E Barndorff-Nielsen and

Albert Shiryaev Albert Nikolayevich Shiryaev (russian: Альбе́рт Никола́евич Ширя́ев; born October 12, 1934) is a Soviet and Russian mathematician. He is known for his work in probability theory, statistics and financial mathematics. C ...

''Change of Time and Change of Measure'' (Second Edition)
World Scientific Publishing Company 2015; 1st edition 2010 *Kiyosi Itô (with Ole E Barndorff-Nielsen and Ken-iti Sato as editors)
''Stochastic Processes: Lectures given at Aarhus University''
Springer 2010 *Ole E Barndorff-Nielsen, Thomas Mikosch and Sidney I. Resnick, ''Lévy Processes: Theory and Applications'', Birkhäuser 2013
2001 edition
*Ole E. Barndorff-Nielsen
Parametric Statistical Models and Likelihood
Springer-Verlag 2012

References

* ** Reprinted as

External links