Multiple regression on stable vectors

DOI10.1016/0047-259X(92)90069-RMaRDI QIDQ1192001zbMATH OpenFDO

Authors Stamatis Cambanis, Wei Wu

Publication date 27 September 1992

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

Full work available at URL https://doi.org/10.1016/0047-259X(92)90069-R

zbMATH Keywords

finiteness of conditional absolute momentsharmonizable processesindex of stabilitynecessary and sufficient conditions for linearity of multiple regressionsscale mixtures of Gaussian processesstable processesstable random vectorsstationary 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)

Review text

The authors study the regression \(E(Y| X_ 1,\dots,X_ n)\) for general stable vectors \((X_ 1,\dots,X_ n,Y)\) with index of stability \(0<\alpha<2\). Necessary and sufficient conditions for the linearity of the regression \(E(Y| X_ 1,\dots,X_ n)\) are established when \(1<\alpha <2\) and a sufficient condition for the finiteness of the conditional absolute moment \(E(| Y|\left| X_ 1,\dots,X_ n\right.)\) when \(0<\alpha<1\) is also given. The results obtained are applied to various classes of stable processes, such as scale mixtures of Gaussian processes, stationary moving averages and harmonizable processes.

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Cites work

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

Cited in

(13)

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

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