Compound vectors of subordinators and their associated positive Lévy copulas

DOI10.1016/j.jmva.2021.104728zbMath1465.62092arXiv1909.12112OpenAlexW3129091179MaRDI QIDQ2022558

Fabrizio Leisen, Alan Riva Palacio

Publication date: 29 April 2021

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

Full work available at URL: https://arxiv.org/abs/1909.12112

zbMATH Keywords

Lévy processesdependent completely random measuresClayton Lévy copulas

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics in engineering and industry; control charts (62P30)

Related Items (3)

Survival Regression Models With Dependent Bayesian Nonparametric Priors ⋮ Measuring dependence in the Wasserstein distance for Bayesian nonparametric models ⋮ Transport distances on random vectors of measures: recent advances in Bayesian nonparametrics

Uses Software

• fitdistrplus
• Optim

Cites Work

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