论文信息 - Revealing Some Unexpected Dependence Properties of Linear Combinations of Stable Random Variables Using Symmetric Covariation

Revealing Some Unexpected Dependence Properties of Linear Combinations of Stable Random Variables Using Symmetric Covariation

Abstract 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.

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