Nonparametric low-frequency Lévy copula estimation in a general framework

DOI10.1080/10485252.2018.1474215zbMATH Open1403.62103OpenAlexW2803780496MaRDI QIDQ5375946FDOQ5375946

Authors: Christian Palmes, Benedikt Funke, Babak S. Hosseini 

Publication date: 17 September 2018

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10485252.2018.1474215

Recommendations

• Nonparametric inference on Lévy measures and copulas
• Nonparametric estimation for Lévy processes from low-frequency observations
• TWO‐STEP ESTIMATION OF A MULTI‐VARIATE LÉVY PROCESS
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• Estimation for Lévy processes from high frequency data within a long time interval

zbMATH Keywords

low-frequency dataLévy copulaLévy measuremultidimensional Lévy processesstatistical inference for jumps

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic properties of nonparametric inference (62G20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12) Functional limit theorems; invariance principles (60F17)

Cites Work

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• Nonparametric inference on Lévy measures and copulas
• Characterization of dependence of multidimensional Lévy processes using Lévy copulas
• The Pareto Copula, Aggregation of Risks, and the Emperor's Socks
• Lévy Copulas: Dynamics and Transforms of Upsilon Type
• Modelling dependence in insurance claims process with Lévy copulas

Cited In (4)

• Parametric estimation of a bivariate stable Lévy process
• Nonparametric estimation for Lévy processes from low-frequency observations
• Adaptive nonparametric estimation for Lévy processes observed at low frequency
• Nonparametric inference on Lévy measures and copulas

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