TWO-STEP ESTIMATION OF A MULTI-VARIATE LÉVY PROCESS
Author:
Affiliation:
1. Technische Universität München
Publisher
Wiley
Subject
Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/jtsa.12042/fullpdf
Reference15 articles.
1. Inference for gamma and stable processes;Basawa;Biometrika,1978
2. A note on estimation for gamma and stable processes;Basawa;Biometrika,1980
3. Pareto Lévy measures and multivariate regular variation;Eder;Advances in Applied Probability,2012
4. Modelling Extremal Events
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