Parametric estimation of a bivariate stable Lévy process

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

zbMATH Keywords

parameter estimationmaximum likelihood estimationFisher information matrixdependence structureLévy copulamultivariate stable process

Mathematics Subject Classification ID

Related Items (11)

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

Cites Work

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• Parameter estimation of a bivariate compound Poisson process
• Exponential families of stochastic processes
• Estimation of stable spectral measures
• Characterization of dependence of multidimensional Lévy processes using Lévy copulas
• A note on estimation for gamma and stable processes
• Inference for gamma and stable processes
• Financial Modelling with Jump Processes
• General conditional specification models
• On Statistical Models for d‐Dimensional Stable Processes, and Some Generalizations
• Lévy Copulas: Dynamics and Transforms of Upsilon Type

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