Multiple regression on stable vectors

We give necessary and sufficient conditions for the linearity of multiple regression on a general stable vector, along with a sufficient condition for the finiteness of the conditional absolute moment when 0 < [alpha] <= 1.

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Year of publication:	1992
Authors:	Cambanis, Stamatis ; Wu, Wei
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 41.1992, 2, p. 243-272
Publisher:	Elsevier
Keywords:	Stable random vectors linear multiple regression moving averages harmonizable processes

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005221407