Series representations for bivariate time-changed Lévy models

2015/03/07 by Vladimir Panov, Panov, Vladimir, Igor Sirotkin +1
Mathematics · #60G51 #62F99 #FOS: Mathematics #Probability (math.PR) #Statistics Theory (math.ST) #math.PR #math.ST #msc:60G51 #msc:62F99 #stat.TH

paper · pdf · doi:10.48550/arxiv.1503.02214

24 pages

arxiv created 2015/03/07 · arxiv updated 2015/03/10

Abstract

In this paper, we analyze a Lévy model based on two popular concepts - subordination and Lévy copulas. More precisely, we consider a two-dimensional Lévy process such that each component is a time-changed (subordinated) Brownian motion and the dependence between subordinators is described via some Lévy copula. We prove a series representation for our model, which can be efficiently used for simulation purposes, and provide some practical examples based on real data

Related

• Multivariate subordination of stable processes
• Time series models with infinite-order partial copula dependence
• Estimating the Copula of a class of Time-Changed Brownian Motions: A non-parametric Approach
• Parameterization of Copulas and Covariance Decay of Stochastic Processes
• Series Representation of Time-Stable Stochastic Processes