Parametric estimation of a bivariate stable Lévy process
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Publication:716171
DOI10.1016/j.jmva.2011.01.008zbMath1210.62111OpenAlexW2035887933MaRDI QIDQ716171
Claudia Klüppelberg, Habib Esmaeili
Publication date: 19 April 2011
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2011.01.008
parameter estimationmaximum likelihood estimationFisher information matrixdependence structureLévy copulamultivariate stable process
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
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Estimation of model parameters of dependent processes constructed using Lévy Copulas ⋮ Nonparametric inference on Lévy measures and copulas ⋮ Jump tail dependence in Lévy copula models ⋮ Vine constructions of Lévy copulas ⋮ Lévy Copulas: Review of Recent Results ⋮ Random time-change with inverses of multivariate subordinators: governing equations and fractional dynamics ⋮ TWO‐STEP ESTIMATION OF A MULTI‐VARIATE LÉVY PROCESS ⋮ Series representations for multivariate time-changed Lévy models ⋮ Compound vectors of subordinators and their associated positive Lévy copulas ⋮ Lévy copulae for financial returns ⋮ Pareto Lévy Measures and Multivariate Regular Variation
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- On Statistical Models for d‐Dimensional Stable Processes, and Some Generalizations
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