Lévy Copulas: Dynamics and Transforms of Upsilon Type

DOI10.1111/j.1467-9469.2006.00527.xzbMath1141.60022OpenAlexW2036175363MaRDI QIDQ5430582

Alexander M. Linder, Ole Eiler Barndorff-Nielsen

Publication date: 16 December 2007

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

Full work available at URL: https://doi.org/10.1111/j.1467-9469.2006.00527.x

zbMATH Keywords

self-decomposable distributionThorin classGoldie-Steutel-Bondesson classinfinite divisible distributionhomogeneous Lévy copula

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51)

Related Items (9)

Exchangeability and Infinite Divisibility ⋮ Lévy Copulas: Review of Recent Results ⋮ Multivariate supOU processes ⋮ Nonparametric low-frequency Lévy copula estimation in a general framework ⋮ On some dependence structures for multidimensional Lévy driven moving averages ⋮ Parametric estimation of a bivariate stable Lévy process ⋮ The Pareto Copula, Aggregation of Risks, and the Emperor's Socks ⋮ Semigroups of Upsilon transformations ⋮ Pareto Lévy Measures and Multivariate Regular Variation

Cites Work

• Operator-selfdecomposable distributions as limit distributions of processes of Ornstein-Uhlenbeck type
• Some classes of multivariate infinitely divisible distributions admitting stochastic integral representations
• Regularizing mappings of Lévy measures
• Characterization of dependence of multidimensional Lévy processes using Lévy copulas
• Classes of infinitely divisible distributions and densities
• An extension of the notion of a generalized Γ-convolution
• A CONNECTION BETWEEN FREE AND CLASSICAL INFINITE DIVISIBILITY
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