Association of stable random variables

DOI10.1214/AOP/1176990646MaRDI QIDQ753242zbMATH OpenOpenAlexFDO

Authors Mei-Ling Ting Lee, Gennady Samorodnitsky, Svetlozar T. Rachev

Publication date 1990

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aop/1176990646

zbMATH Keywords

Necessary and sufficient conditions for association and negative associationstable random variables

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Measures of association (correlation, canonical correlation, etc.) (62H20)

Review text

Necessary and sufficient conditions for association and negative association [these notions were introduced by \textit{J. D. Esary}, \textit{F. Proschan} and \textit{D. W. Walkup}, Ann. Math. Stat. 38, 1466-1474 (1967; Zbl 0183.215) and \textit{K. Alam} and \textit{K. M. L. Saxena}, Commun. Stat., Theory Methods A10, 1183-1196 (1981; Zbl 0471.62045), respectively] for jointly \(\alpha\)-stable random variables, \(0<\alpha <2\), are given. A result related to the sufficiency part of the main theorem of the paper was obtained earlier by \textit{S. I. Resnick} [Aust. J. Stat. 30A, Spec. Issue, 261-271 (1988; Zbl 0672.62066)].

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(9)

• Interpolation, correlation identities, and inequalities for infinitely divisible variables
• Association of infinitely divisible random vectors
• Dependence of stable random variables
• Sufficient conditions for negative association of random variables
• Inequalities of correlation type for symmetric stable random vectors
• Stable limits for associated regularly varying sequences
• Spectral covariance and limit theorems for random fields with infinite variance
• scientific article; zbMATH DE number 639817 (Why is no real title available?)
• CAPM, RISK AND PORTFOLIO SELECTION IN "α-STABLE MARKETS"

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