Cross-codifference for bidimensional VAR(1) time series with infinite variance (Q5082898)
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scientific article; zbMATH DE number 7545810
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| English | Cross-codifference for bidimensional VAR(1) time series with infinite variance |
scientific article; zbMATH DE number 7545810 |
Statements
Cross-codifference for bidimensional VAR(1) time series with infinite variance (English)
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21 June 2022
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dependence measure
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cross-covariance
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codifference
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infinite variance
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\(\alpha\)-stable sub-Gaussian
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0.8820105791091919
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0.8060303926467896
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0.7727487683296204
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0.7621728181838989
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0.7559794187545776
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