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.
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The second author was supported by an agreement with Cornell University, Operations Research & Information Engineering under W911NF-12-1-0385 from the Army Research Development and Engineering Command.
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Alparslan, U.T., Nolan, J.P. A measure of dependence for stable distributions. Extremes 19, 303–323 (2016). https://doi.org/10.1007/s10687-015-0233-1
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DOI: https://doi.org/10.1007/s10687-015-0233-1