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A measure of dependence for stable distributions
Multi angle
Authors : Nolan, John P. (Author of the conference)
CIRM (Publisher )
60E07 - Infinitely divisible distributions; stable distributions
60G52 - Stable processes
62H20 - Measures of association (correlation, canonical correlation, etc.)
CIRM (Publisher )
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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.
This is joint work with Tuncay Alparslan.
Keywords : stable vectors; dependence measure; test statistic
MSC Codes : This is joint work with Tuncay Alparslan.
Keywords : stable vectors; dependence measure; test statistic
60E07 - Infinitely divisible distributions; stable distributions
60G52 - Stable processes
62H20 - Measures of association (correlation, canonical correlation, etc.)
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Information on the Video
Film maker : Hennenfent, GuillaumeLanguage : English Available date : 08/03/16 Conference Date : 23/02/16 Subseries : Research talks arXiv category : Probability ; Statistics Theory Mathematical Area(s) : Probability & Statistics Format : MP4 (.mp4) - HD Video Time : 00:26:56 Targeted Audience : Researchers Download : https://videos.cirm-math.fr/2016-02-23_Nolan.mp4 
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Information on the Event
Event Title : Thematic month on statistics - Week 4: Extremes, Copulas and Actuarial Science / Mois thématique sur les statistiques - Semaine 4 : Extrêmes, Copules et ActuariatEvent Organizers : Boutahar, Mohamed ; Pommeret, Denys ; Royer-Carenzi, Manuela Dates : 22/02/16 - 26/02/16 Event Year : 2016 Event URL : http://conferences.cirm-math.fr/1618.html
Citation Data
DOI : 10.24350/CIRM.V.18933403Cite this video as: Nolan, John P. (2016). A measure of dependence for stable distributions. CIRM. Audiovisual resource. doi:10.24350/CIRM.V.18933403 URI : http://dx.doi.org/10.24350/CIRM.V.18933403 |
See Also
- [Multi angle] On tail dependence coefficients of transformed multivariate Archimedean copulas / Author of the conference Di Bernardino, Elena.
- [Multi angle] Discrete Schur-constant models in inssurance / Author of the conference Lefèvre, Claude.
- [Multi angle] Copulas based inference for discrete or mixed data / Author of the conference Rémillard, Bruno.
- [Multi angle] Fractional Poisson process: long-range dependence and applications in ruin theory / Author of the conference Biard, Romain.
Bibliography
- Alparslan, U.T., & Nolan, J.P. (2016). A measure of dependence for stable distributions. Extremes - http://dx.doi.org/10.1007/s10687-015-0233-1
