A measure of dependence for stable distributions

DOI10.1007/s10687-015-0233-1zbMath1385.60036OpenAlexW2293789552MaRDI QIDQ291410

Uğur Tuncay Alparslan, John P. Nolan

Publication date: 7 June 2016

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-015-0233-1

zbMATH Keywords

dependence measurestable vectorstest statistic

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Measures of association (correlation, canonical correlation, etc.) (62H20) Stable stochastic processes (60G52)

Related Items (2)

Principal component analysis for α-stable vectors ⋮ Multivariate \(\alpha\)-stable distributions: VAR(1) processes, measures of dependence and their estimations

Cites Work

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• Measuring and testing dependence by correlation of distances
• The equivalence of ergodicity and weak mixing for infinitely divisible processes
• Brownian distance covariance
• Testing for independence by the empirical characteristic function
• Metrics for multivariate stable distributions
• A Method for Simulating Stable Random Variables
• Estimation and Comparison of Signed Symmetric Covariation Coefficient and Generalized Association Parameter for Alpha-stable Dependence Modeling
• Distribution Free Tests of Independence Based on the Sample Distribution Function
• A Non-Parametric Test of Independence

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