Conditional moments and linear regression for stable random variables

DOI10.1016/0304-4149(91)90078-QMaRDI QIDQ1180183zbMATH OpenOpenAlexFDO

Authors Murad S. Taqqu, Gennady Samorodnitsky

Publication date 27 June 1992

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(91)90078-q

zbMATH Keywords

autoregressive modelsconditional momentsharmonizable vectorsmoving averagesstable random vectorsub-Gaussian vectorssymmetric alpha-stable processes

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Characteristic functions; other transforms (60E10) Characterization and structure theory of statistical distributions (62E10) Linear regression; mixed models (62J05)

Review text

Jointly \(\alpha\)-stable random variables with index \(0<\alpha<2\) have only finite moments of order less then \(\alpha\), but their conditional moments can be higher than \(\alpha\). We provide conditions for this to happen and use the existence of conditional moments to study the regression \(E(X_ 2\mid X_ 1=x)\). We show that if \((X_ 1,X_ 2)\) is a symmetric \(\alpha\)- stable random vector, then under appropriate conditions, the regression is well-defined even when \(\alpha\leq 1\) and linear in \(x\). The results are applied to different classes of symmetric \(\alpha\)-stable processes (authors' summary).

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Cited in

(15)

• Nonlinear regression of stable random variables
• Multiple regression on stable vectors
• How do conditional moments of stable vectors depend on the spectral measure?
• On stochastic processes with linear conditional moments
• Asymptotic behavior of conditional laws and moments of \(\alpha\)-stable random vectors, with application to upcrossing intensities
• Conditional moment estimation of nonlinear equation systems
• Necessary conditions for the existence of conditional moments of stable random variables
• On a characterization of processes by the independence of linear forms in a triangular system
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• Fractional absolute moments of heavy tailed distributions
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• scientific article; zbMATH DE number 16137 (Why is no real title available?)
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