Estimation and Comparison of Signed Symmetric Covariation Coefficient and Generalized Association Parameter for Alpha-stable Dependence Modeling

DOI10.1080/03610926.2012.730167zbMath1307.60005OpenAlexW2048478665MaRDI QIDQ5177611

Bernédy Kodia, Bernard Garel

Publication date: 13 March 2015

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

Full work available at URL: https://doi.org/10.1080/03610926.2012.730167

zbMATH Keywords

spectral measurecovariationdependenceassociation parameter

Mathematics Subject Classification ID

Multivariate analysis (62H99) Probability distributions: general theory (60E05)

Related Items (8)

A measure of dependence for stable distributions ⋮ Spectral covariance and limit theorems for random fields with infinite variance ⋮ Properties of spectral covariance for linear processes with infinite variance ⋮ Multivariate \(\alpha\)-stable distributions: VAR(1) processes, measures of dependence and their estimations ⋮ Measures of Cross‐Dependence for Bidimensional Periodic AR(1) Model with α‐Stable Distribution ⋮ Series representation of jointly \(S \alpha S\) distribution via symmetric covariations ⋮ Continuous processes derived from the solution of generalized Langevin equation: theoretical properties and estimation ⋮ AN EMPIRICAL STUDY OF THE ASYMPTOTIC LAWS OF SOME ESTIMATORS OF GENERALIZED ASSOCIATION PARAMETER AND SIGNED SYMMETRIC COVARIATION COEFFICIENT

Cites Work

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• Simple consistent estimators of stable distribution parameters
• Linear Problems in Linear Problems inpth Order and Stable Processes
• Regression and autoregression with infinite variance
• Chance and Stability
• Estimation of the bivariate stable spectral representation by the projection method

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