TWO‐STEP ESTIMATION OF A MULTI‐VARIATE LÉVY PROCESS

DOI10.1111/jtsa.12042zbMath1398.62053arXiv1306.1725OpenAlexW1956541840MaRDI QIDQ5408113

Habib Esmaeili, Claudia Klüppelberg

Publication date: 8 April 2014

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1306.1725

zbMATH Keywords

maximum likelihood estimationdependence structureLévy copulaGodambe information matrixIFMinference functions for marginsreduced likelihoodmulti-variate Lévy processtwo-step parameter estimation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12) Point estimation (62F10)

Related Items (5)

Estimation of model parameters of dependent processes constructed using Lévy Copulas ⋮ Jump tail dependence in Lévy copula models ⋮ Lévy Copulas: Review of Recent Results ⋮ Random time-change with inverses of multivariate subordinators: governing equations and fractional dynamics ⋮ Compound vectors of subordinators and their associated positive Lévy copulas

Cites Work

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• Parameter estimation of a bivariate compound Poisson process
• Parametric estimation of a bivariate stable Lévy process
• Characterization of dependence of multidimensional Lévy processes using Lévy copulas
• Pareto Lévy Measures and Multivariate Regular Variation
• A note on estimation for gamma and stable processes
• Inference for gamma and stable processes
• Asymptotic Statistics

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