Test of association between multivariate stable vectors

  • Authors:

  • S. Mittnik;S. T. Rachev;L. Rüschendorf

  • Affiliations:

  • Institute of Statistics and Econometrics, University of Kiel Olshausenstr. 40, D-24220 Kiel, Germany;Institute of Statistics and Mathematical Economics University of Karlsruhe, Kollegium am Schloss Bau II D-76128, Karlsruhe, Germany;Institute of Mathematical Stochastics University of Freiburg, Eckerstr. 1 D-79104 Freiburg, Germany

  • Venue:
  • Mathematical and Computer Modelling: An International Journal
  • Year:
  • 1999

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Abstract

Based on observations of d-dimensional random vectors in the domain of attraction of a stable distribution with (multi-)index @a = (@a"1, ..., @a"d), an estimator for the dependence function of the @a"i-stable variables is constructed. The estimator utilizes the @a-tail-estimator and an estimator of the spectral measure of the @a-stable law. This estimator gives rise to a test of association of the stable components and various quantitative measures of association.