How do conditional moments of stable vectors depend on the spectral measure?
Let (X1,X2) be an [alpha]-stable random vector with 0 < [alpha] < 2, not necessarily symmetric. Its distribution is characterized by a finite measure [Gamma] on the unit circle called the spectral measure. It is known that if [Gamma] satisfies some integrability condition then the conditional moment E[[short parallel]X2[short parallel]p[short parallel]X1] can exist for some values of p greater than [alpha]. This paper provides a sufficient condition on [Gamma] for the existence of the conditional moment E[[short parallel]X2[short parallel]p[short parallel]X1] involving the maximal range of possible p's, namely p < 2[alpha] + 1.
Year of publication: |
1994
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Authors: | Cioczek-Georges, Renata ; Taqqu, Murad S. |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 54.1994, 1, p. 95-111
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Publisher: |
Elsevier |
Keywords: | Stable distributions Stable random vectors Symmetric [alpha]-stable Conditional moments |
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