Revealing Some Unexpected Dependence Properties of Linear Combinations of Stable Random Variables Using Symmetric Covariation

DOI10.1081/STA-120028725MaRDI QIDQ3155293zbMATH OpenOpenAlexFDO

Authors B. Garel, Ludovic D'Estampes, Dag Tjøstheim

Publication date 14 January 2005

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/sta-120028725

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Measures of association (correlation, canonical correlation, etc.) (62H20)

Recommendations

• Signed symmetric covariation coefficient for alpha-stable dependence modeling
• The covariation function for symmetric \(\alpha\)-stable random variables with finite first moments
• Series representation of jointly \(S \alpha S\) distribution via symmetric covariations
• Dependence of stable random variables
• Measures of Dependence for Infinite Variance Distributions

Cites work

• A Method for Simulating Stable Random Variables
• A consistent nonparametric test for serial independence
• A method for fitting stable autoregressive models using the autocovariation function
• Linear Problems in Linear Problems inpth Order and Stable Processes
• Properties of certain symmetric stable distributions
• Testing for Pairwise Serial Independence Via the Empirical Distribution Function

Cited in

(8)

• Coefficient of relationship for two symmetric alpha-stable variables when alpha is in the interval \((1,2]\)
• Dependence of stable random variables
• Properties of spectral covariance for linear processes with infinite variance
• Estimation and comparison of signed symmetric covariation coefficient and generalized association parameter for alpha-stable dependence modeling
• The covariation function for symmetric \(\alpha\)-stable random variables with finite first moments
• Signed symmetric covariation coefficient for alpha-stable dependence modeling
• On characterization of distributions of symmetrically dependent random variables
• Series representation of jointly \(S \alpha S\) distribution via symmetric covariations

This page was built for publication: Revealing Some Unexpected Dependence Properties of Linear Combinations of Stable Random Variables Using Symmetric Covariation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3155293)