Copulas and Dependency Measures for Multivariate Linnik Distributions


  •  Alexandru Belu    
  •  Wesley Maddox    
  •  Wojbor A. Woyczynski    

Abstract

We begin this paper by introducing the Linnik distributions in both the univariate and multivariate case. An overview of simulation methods and two estimation procedures for the multivariate Linnik distribution are presented. Experiments demonstrating the accuracy of the procedures are also included. Then a novel multivariate Linnik copula is derived. The primary focus of this part of work is on simulation and estimation procedures for this copula, applying existing algorithms for simulation and estimation procedures for the multivariate Linnik distribution derived in the prior section. Several theoretical properties of the copula in relation to different dependence metrics are derived.



This work is licensed under a Creative Commons Attribution 4.0 License.
  • Issn(Print): 1927-7032
  • Issn(Onlne): 1927-7040
  • Started: 2012
  • Frequency: bimonthly

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