Multiple regression on stable vectors

DOI10.1016/0047-259X(92)90069-RzbMATH Open0755.62052MaRDI QIDQ1192001FDOQ1192001

Authors: Stamatis Cambanis, Wei Wu 

Publication date: 27 September 1992

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

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zbMATH Keywords

stable processesindex of stabilitystable random vectorsharmonizable processesfiniteness of conditional absolute momentsnecessary and sufficient conditions for linearity of multiple regressionsscale mixtures of Gaussian processesstationary moving averages

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Ergodic properties of stationary stable processes
• Conditional moments and linear regression for stable random variables
• Nonlinear regression of stable random variables
• Properties of certain symmetric stable distributions
• Title not available (Why is that?)
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Cited In (10)

• Title not available (Why is that?)
• On the conditional variance for scale mixtures of normal distributions
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Non-linear properties of conditional returns under scale mixtures
• Bessel inequalities with applications to conditional log returns under GIG scale mixtures of normal vectors.
• How do conditional moments of stable vectors depend on the spectral measure?
• Applications of a General Stable Law Regression Model
• Regression Properties for Asymmetric Generalized Scale Mixtures of Multivariate Gaussian Variables

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