Asymptotic theory of statistical inference
Asymptotic theory of statistical inference
Characterization of dependence of multidimensional Lévy processes using Lévy copulas
Journal of Multivariate Analysis
Estimation of stable spectral measures
Mathematical and Computer Modelling: An International Journal
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We propose a parametric model for a bivariate stable Levy process based on a Levy copula as a dependence model. We estimate the parameters of the full bivariate model by maximum likelihood estimation. As an observation scheme we assume that we observe all jumps larger than some @e0 and base our statistical analysis on the resulting compound Poisson process. We derive the Fisher information matrix and prove asymptotic normality of all estimates when the truncation point @e-0. A simulation study investigates the loss of efficiency because of the truncation.