Test of association between multivariate stable vectors
Based on observations of d-dimensional random vectors in the domain of attraction of a stable distribution with (multi-) index alpha = (alpha(1),...,alpha(d)), an estimator for the dependence function of the alpha(i)-stable variables is constructed. The estimator utilizes the alpha-tail-estimator and an estimator of the spectral measure of the alpha-stable law. This estimator gives rise to a test of association of the stable components and various quantitative measures of association. (C) 1999 Elsevier Science Ltd. All rights reserved.
dependence function asset-return distribution financial modeling multivariate stable distribution