A measure of dependence for stable distributions | Vidéo | Carmin.tv

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A measure of dependence for stable distributions

By John P. Nolan

Appears in collection : Thematic month on statistics - Week 4: Extremes, copulas and actuarial science / Mois thématique sur les statistiques - Semaine 4 : Extrêmes, copules et actuariat

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.

Information about the video

Date of recording 23/02/2016
Date of publication 08/03/2016
Institution CIRM
Licence CC BY NC ND
Language English
Audience Researchers
Director(s) Guillaume Hennenfent
Format MP4

Citation data

DOI 10.24350/CIRM.V.18933403
Cite this video Nolan, John P. (23/02/2016). A measure of dependence for stable distributions. CIRM. Audiovisual resource. DOI: 10.24350/CIRM.V.18933403
URL https://dx.doi.org/10.24350/CIRM.V.18933403

Domain(s)

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

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