Construction and sampling of Archimedean and nested Archimedean Lévy copulas
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Publication:2350047
DOI10.1016/j.jmva.2014.12.004zbMath1320.62114OpenAlexW2090966031MaRDI QIDQ2350047
Publication date: 18 June 2015
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2014.12.004
Processes with independent increments; Lévy processes (60G51) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
Related Items (7)
Statistical analysis of dependent competing risks model in constant stress accelerated life testing with progressive censoring based on copula function ⋮ Estimation of model parameters of dependent processes constructed using Lévy Copulas ⋮ A numerical study of Markov decision process algorithms for multi-component replacement problems ⋮ Inference for accelerated bivariate dependent competing risks model based on Archimedean copulas under progressive censoring ⋮ Series representations for multivariate time-changed Lévy models ⋮ Compound vectors of subordinators and their associated positive Lévy copulas ⋮ Clustering of financial instruments using jump tail dependence coefficient
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