Habib Esmaeili

Technische Universität München (TUM)

Arcisstrasse 21

Munich, DE 80333

Germany

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Two‐Step Estimation of a Multi‐Variate Lévy Process

Journal of Time Series Analysis, Vol. 34, Issue 6, pp. 668-690, 2013
Number of pages: 23 Posted: 16 Nov 2013
C. Klüppelberg and Habib Esmaeili
Technische Universität München (TUM) and Technische Universität München (TUM)
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Abstract:

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Dependence structure, Godambe information matrix, Lévy copula, maximum likelihood estimation, multi‐variate Lévy process, reduced likelihood, two‐step parameter estimation