A measure of dependence for stable distributions |
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Authors: | Uğur Tuncay Alparslan John P Nolan |
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Institution: | 1.Mathematics and Statistics,American University,Washington,USA |
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Abstract: | A distance based measure of dependence is proposed for stable distributions that completely characterizes independence for a bivariate stable distribution. Properties of this measure are analyzed, and contrasted with the covariation and co-difference. A sample analog of the measure is defined and demonstrated on simulated and real data, including time series and distributions in the domain of attraction of a stable law. |
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