Ole E. Barndorff-Nielsen: Sand, Wind and Inference

This paper reviews Ole Eiler Barndorff-Nielsen’s research in the first decades of his career. The focus is on topics that he kept returning to throughout his scientific life, and on papers that he built on in later important contributions. First his early contributions to the foundations of statistical inference are reviewed with focus on conditional inference and exponential families, two topics in which he had a lifelong interest. The second half of the paper reviews his research on wind blown sand and hyperbolic distributions and processes, including his early contributions to modelling of turbulent wind fields. This research laid the foundations for his later work on financial econometrics and ambit processes.