Ole Eiler BarndorffNielsen  

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


Born 
March 18, 1935 Copenhagen 
Residence  Århus, Denmark 
Nationality  Danish 
Fields  Mathematics 
Institutions  University of Aarhus 
Known for  hyperbolic distribution, Information geometry, maximum likelihood estimator, Levy processes, BarndorffNielsen Shephard stochastic volatility model 
Ole Eiler BarndorffNielsen (born 18 March 1935 in Copenhagen) is a renowned Danish statistician who has contributed to many area 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.
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. 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 p ^{*} formula, but now known as the BarndorffNielsen formula). He has jointly with David Cox written two influential books on asymptotic techniques in statistics. 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 Levy processes.
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. In 1984 he produced a short film^{[1]} on the physics of blown sand and the life of the British scientist and explorer Brigadier Ralph Alger Bagnold. 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.
