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

DOI10.1081/STA-120028725zbMATH Open1197.62065OpenAlexW1979284377MaRDI QIDQ3155293FDOQ3155293

Ludovic D'Estampes, Dag Tjøstheim, B. Garel

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

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• Measures of Dependence for Infinite Variance Distributions

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (2)

• Signed symmetric covariation coefficient for alpha-stable dependence modeling
• Estimation and Comparison of Signed Symmetric Covariation Coefficient and Generalized Association Parameter for Alpha-stable Dependence Modeling

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