Multiple regression on stable vectors
DOI10.1016/0047-259X(92)90069-RzbMATH Open0755.62052MaRDI QIDQ1192001FDOQ1192001
Publication date: 27 September 1992
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
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
Infinitely divisible distributions; stable distributions (60E07) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Cites Work
Cited In (7)
- On the conditional variance for scale mixtures of normal distributions
- 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?
- Regression Properties for Asymmetric Generalized Scale Mixtures of Multivariate Gaussian Variables
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