On a New Measure of Covariation for Stable Random Variables

We consider possible measures of dependence for two symmetric alpha-stable (SαS) random variables. Some results are given which enlighten a few deficiencies of these measures. We propose a new measure which partially solve these problems. The results are illustrated by simulations

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Year of publication:	2018
Authors:	d’Estampes, Ludovic
Other Persons:	Garel, Bernard (contributor) ; Tjøstheim, Dag (contributor)
Publisher:	[2018]: [S.l.] : SSRN
Subject:	Messung \| Measurement \| Theorie \| Theory \| Zufallsvariable \| Random variable \| Korrelation \| Correlation

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Extent:	1 Online-Ressource (13 p)
Series:	Mathematics Preprint Archive ; Vol. 2002, Issue 10, pp 145-157
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 2002 erstellt
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012924670