期刊
JOURNAL OF MULTIVARIATE ANALYSIS
卷 97, 期 7, 页码 1551-1572出版社
ELSEVIER INC
DOI: 10.1016/j.jmva.2005.11.001
关键词
Levy process; Copula; limit theorems
This paper suggests Levy copulas in order to characterize the dependence among components of multidimensional Levy processes. This concept parallels the notion of a copula on the level of Levy measures. As for random vectors, a version of Sklar's theorem states that the law of a general multivariate Levy process is obtained by combining arbitrary univariate Levy processes with an arbitrary Levy copula. We construct parametric families of Levy copulas and prove a limit theorem, which indicates how to obtain the Levy copula of a multivariate Levy process X from the ordinary copula of the random vector X-t for small t. (c) 2005 Elsevier Inc. All rights reserved.
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