Estimation of model parameters of dependent processes constructed using Lévy copulas

DOI10.1080/03610918.2019.1565581MaRDI QIDQ5082563zbMATH OpenOpenAlexFDO

Authors Wenjun Jiang, Hanping Hong, Jiandong Ren

Publication date 21 June 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2019.1565581

zbMATH Keywords

parameter estimationgamma processsubordinatordependencyLévy copulaClayton Lévy copula

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics in engineering and industry; control charts (62P30) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Recommendations

• Characterization of dependence of multidimensional Lévy processes using Lévy copulas
• Compound vectors of subordinators and their associated positive Lévy copulas
• Parameter estimation of a bivariate compound Poisson process
• TWO‐STEP ESTIMATION OF A MULTI‐VARIATE LÉVY PROCESS
• Modelling dependence in insurance claims process with Lévy copulas

Cites work

• scientific article; zbMATH DE number 1639863 (Why is no real title available?)
• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 5080942 (Why is no real title available?)
• A note on estimation for gamma and stable processes
• Accelerated degradation models for failure based on geometric Brownian motion and gamma processes
• An introduction to copulas.
• Characterization of dependence of multidimensional Lévy processes using Lévy copulas
• Construction and sampling of Archimedean and nested Archimedean Lévy copulas
• Financial Modelling with Jump Processes
• Inference for gamma and stable processes
• Introduction to probability models
• Introductory lectures on fluctuations of Lévy processes with applications.
• Jump tail dependence in Lévy copula models
• Lévy copulas: review of recent results
• Lévy matters IV. Estimation for discretely observed Lévy processes
• On Nonstationary Cumulative Damage Models
• Parametric estimation of a bivariate stable Lévy process
• Pareto Lévy measures and multivariate regular variation
• Reliability modeling of systems with two dependent degrading components based on gamma processes
• Renewal theory in two dimensions: asymptotic results
• TWO‐STEP ESTIMATION OF A MULTI‐VARIATE LÉVY PROCESS
• Using Degradation Measures to Estimate a Time-to-Failure Distribution

Cited in

(4)

• Parameter estimation of a bivariate compound Poisson process
• Jump tail dependence in Lévy copula models
• Construction of a Lévy-type process by means of the parametrix method
• Moment-based estimation of extendible Marshall-Olkin copulas

This page was built for publication: Estimation of model parameters of dependent processes constructed using Lévy copulas

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5082563)