Archimedean survival processes

DOI10.1016/J.JMVA.2012.09.008MaRDI QIDQ1941420zbMATH OpenOpenAlexFDO

Authors Edward Hoyle, Levent Ali Mengütürk

Publication date 12 March 2013

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1106.2342

zbMATH Keywords

Archimedean copulagamma bridgegamma processmultivariate Liouville distribution

Mathematics Subject Classification ID

Multivariate analysis (62H99) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Abstract: Archimedean copulas are popular in the world of multivariate modelling as a result of their breadth, tractability, and flexibility. A. J. McNeil and J. Nev{s}lehov'a (2009) showed that the class of Archimedean copulas coincides with the class of multivariate $el{l}_1$-norm symmetric distributions. Building upon their results, we introduce a class of multivariate Markov processes that we call `Archimedean survival processes' (ASPs). An ASP is defined over a finite time interval, is equivalent in law to a multivariate gamma process, and its terminal value has an Archimedean survival copula. There exists a bijection from the class of ASPs to the class of Archimedean copulas. We provide various characterisations of ASPs, and a generalisation.

Review text

The authors construct a family of multivariate stochastic processes called Archimedean survival processes (ASPs) defined over a finite time horizon with terminal value having multivariate \(l_1\)-norm summetric distribution so that the terminal value has an Archimedean survival copula. These ASPs are \(n\)-dimensional gamma random bridges (GRBs) with each marginal process as GRB. The authors generalize the ASPs to Liouville processes which are Markov processes whose increments have multivariate Liouville distributions. The ARPs are applied to interpolate dependence structures when using Archimedean copulas in discrete time models and the Liouville processes are applied to intraday forecasting of realized variance. Several characterizations of the law of ARPs are also derived.

Recommendations

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Cited in

(7)

• Gaussian random bridges and a geometric model for information equilibrium
• Bridges with random length: gamma case
• Sampling a survival and conditional class of Archimedean processes
• The Markov consistency of Archimedean survival processes
• Generalised liouville processes and their properties
• A family of interacting particle systems pinned to their ensemble average
• From irrevocably modulated filtrations to dynamical equations over random networks

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