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
2 IMT - Institut de Mathématiques de Toulouse UMR5219

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.

Domaines: Statistiques [math.ST]

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⟩