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)

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)

Recommendations

• Conditional moments and linear regression for stable random variables
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Cites work

• scientific article; zbMATH DE number 4111684 (Why is no real title available?)
• scientific article; zbMATH DE number 3299232 (Why is no real title available?)
• Conditional moments and linear regression for stable random variables
• Ergodic properties of stationary stable processes
• Nonlinear regression of stable random variables
• Properties of certain symmetric stable distributions

Cited in

(10)

• Bessel inequalities with applications to conditional log returns under GIG scale mixtures of normal vectors.
• Regression Properties for Asymmetric Generalized Scale Mixtures of Multivariate Gaussian Variables
• scientific article; zbMATH DE number 4113802 (Why is no real title available?)
• How do conditional moments of stable vectors depend on the spectral measure?
• scientific article; zbMATH DE number 4056768 (Why is no real title available?)
• Non-linear properties of conditional returns under scale mixtures
• Applications of a General Stable Law Regression Model
• scientific article; zbMATH DE number 16137 (Why is no real title available?)
• On the conditional variance for scale mixtures of normal distributions
• scientific article; zbMATH DE number 4111684 (Why is no real title available?)

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