کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1147304 957574 2006 22 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Characterization of dependence of multidimensional Lévy processes using Lévy copulas
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز عددی
پیش نمایش صفحه اول مقاله
Characterization of dependence of multidimensional Lévy processes using Lévy copulas
چکیده انگلیسی

This paper suggests Lévy copulas in order to characterize the dependence among components of multidimensional Lévy processes. This concept parallels the notion of a copula on the level of Lévy measures. As for random vectors, a version of Sklar's theorem states that the law of a general multivariate Lévy process is obtained by combining arbitrary univariate Lévy processes with an arbitrary Lévy copula. We construct parametric families of Lévy copulas and prove a limit theorem, which indicates how to obtain the Lévy copula of a multivariate Lévy process X from the ordinary copula of the random vector Xt for small t.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multivariate Analysis - Volume 97, Issue 7, August 2006, Pages 1551-1572