Revealing some unexpected dependence properties of linear combinations of stable random variables using symmetric covaration

Ludovic d'Estampes 1 Bernard Garel 2 Dag Tjøstheim
1 MAIAA-PROBA - Equipe MAIAA-PROBA
MAIAA - ENAC - Laboratoire de Mathématiques Appliquées, Informatique et Automatique pour l'Aérien
Abstract : The covariation is one of the possible dependence measures for variables where distribution is symmetric alpha-stable with parameter alpha between one and two. We introduce a symmetrized and normalized version of the covariation which enables us to reveal some unexpected dependence properties of stable variables.
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Ludovic d'Estampes, Bernard Garel, Dag Tjøstheim. Revealing some unexpected dependence properties of linear combinations of stable random variables using symmetric covaration. Communications in Statistics - Theory and Methods, 2004, 33 (4), ⟨10.1081/STA-120028725⟩. ⟨hal-01330072⟩

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