TWO-STEP ESTIMATION OF A MULTI-VARIATE LÉVY PROCESS

Author:

Esmaeili Habib1,Klüppelberg Claudia1

Affiliation:

1. Technische Universität München

Publisher

Wiley

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Reference15 articles.

Cited by 6 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. Compound vectors of subordinators and their associated positive Lévy copulas;Journal of Multivariate Analysis;2021-05

2. Random time-change with inverses of multivariate subordinators: Governing equations and fractional dynamics;Stochastic Processes and their Applications;2020-10

3. Estimation of model parameters of dependent processes constructed using Lévy Copulas;Communications in Statistics - Simulation and Computation;2019-02-01

4. Lévy Copulas: Review of Recent Results;The Fascination of Probability, Statistics and their Applications;2015-12-27

5. Capturing non-exchangeable dependence in multivariate loss processes with nested Archimedean Lévy copulas;Annals of Actuarial Science;2015-12-11

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