TWO-STEP ESTIMATION OF A MULTI-VARIATE LÉVY PROCESS
نویسندگان
چکیده
منابع مشابه
Two-step estimation of a multivariate Lévy process
Based on the concept of a Lévy copula to describe the dependence structure of a multivariate Lévy process we present a new estimation procedure. We consider a parametric model for the marginal Lévy processes as well as for the Lévy copula and estimate the parameters by a two-step procedure. We first estimate the parameters of the marginal processes, and then estimate in a second step only the d...
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ژورنال
عنوان ژورنال: Journal of Time Series Analysis
سال: 2013
ISSN: 0143-9782
DOI: 10.1111/jtsa.12042