Parametric estimation of a bivariate stable Lévy process
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- Kallsen, Jan & Tankov, Peter, 2006. "Characterization of dependence of multidimensional Lévy processes using Lévy copulas," Journal of Multivariate Analysis, Elsevier, vol. 97(7), pages 1551-1572, August.
- Ole E. Barndorff‐Nielsen & Alexander M. Lindner, 2007. "Lévy Copulas: Dynamics and Transforms of Upsilon Type," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 34(2), pages 298-316, June.
- Esmaeili, Habib & Klüppelberg, Claudia, 2010. "Parameter estimation of a bivariate compound Poisson process," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 224-233, October.
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Cited by:
- Habib Esmaeili & Claudia Klüppelberg, 2013. "Two-Step Estimation Of A Multi-Variate Lévy Process," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(6), pages 668-690, November.
- Grothe, Oliver & Nicklas, Stephan, 2013. "Vine constructions of Lévy copulas," Journal of Multivariate Analysis, Elsevier, vol. 119(C), pages 1-15.
- Beghin, Luisa & Macci, Claudio & Ricciuti, Costantino, 2020. "Random time-change with inverses of multivariate subordinators: Governing equations and fractional dynamics," Stochastic Processes and their Applications, Elsevier, vol. 130(10), pages 6364-6387.
- Riva-Palacio, Alan & Leisen, Fabrizio, 2021. "Compound vectors of subordinators and their associated positive Lévy copulas," Journal of Multivariate Analysis, Elsevier, vol. 183(C).
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Keywords
Levy copula Maximum likelihood estimation Dependence structure Fisher information matrix Multivariate stable process Parameter estimation;Statistics
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