Measures of Dependence for Infinite Variance Distributions

DOI10.1007/978-1-4939-2104-1_20MaRDI QIDQ5261309zbMATH OpenOpenAlexFDO

Authors B. Garel

Publication date 3 July 2015

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-1-4939-2104-1_20

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20)

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Cited in

(15)

• Signed symmetric covariation coefficient for alpha-stable dependence modeling
• Growth rates of sample covariances of stationary symmetric \(\alpha \)-stable processes associated with null recurrent Markov chains
• Dependence of stable random variables
• Codifference as a practical tool to measure interdependence
• Series representation of jointly S S distribution via symmetric covariations
• Spectral covariance and limit theorems for random fields with infinite variance
• The asymptotic codifference and covariation of log-fractional stable noise
• A measure of dependence for stable distributions
• The covariation function for symmetric -stable random variables with finite first moments
• Revealing Some Unexpected Dependence Properties of Linear Combinations of Stable Random Variables Using Symmetric Covariation
• Properties of spectral covariance for linear processes with infinite variance
• Dependence diagnosis for stationary stochastic processes based on both quantiles and copulas
• Estimation and comparison of signed symmetric covariation coefficient and generalized association parameter for alpha-stable dependence modeling
• Coefficient of relationship for two symmetric alpha-stable variables when alpha is in the interval \((1,2]\)
• Measures of Dependence for Stable AR(1) Models with Time-Varying Coefficients

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