Nonparametric low-frequency Lévy copula estimation in a general framework

Autor:	Christian Palmes, Benedikt Funke, Babak Sayyid Hosseini
Rok vydání:	2018
Předmět:	Statistics and Probability 010104 statistics & probability Mathematics::Complex Variables 010102 general mathematics Nonparametric statistics Jump Applied mathematics 0101 mathematics Statistics Probability and Uncertainty 01 natural sciences Lévy process Mathematics Copula (probability theory)
Zdroj:	Journal of Nonparametric Statistics. 30:523-555
ISSN:	1029-0311 1048-5252
Popis:	Let X be a d-dimensional Levy process. Given the low-frequency observations , , the dependence structure of the jumps of X is estimated. In general, the Levy measure ν describes the average jump be...
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::b47692708debff3f1670212cda107959 https://doi.org/10.1080/10485252.2018.1474215 Zobrazit plný text záznamu