Conditional variance of symmetric stable variables

  • Wei Wu
  • Stamatis Cambanis
Part of the Progress in Probabilty book series (PRPR, volume 25)


For two symmetric α-stable random variables with 1 < α < 2 we find a necessary and sufficient condition for the conditional variance to exist and be finite, we show it has a fixed functional form independent of their joint distribution, we describe its asymptotic behavior and we illustrate its global dependence on the joint distribution.


Joint Distribution Conditional Variance Stable Distribution Scale Mixture Stable Random Variable 
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Copyright information

© Birkhäuser Boston 1991

Authors and Affiliations

  • Wei Wu
    • 1
  • Stamatis Cambanis
    • 1
  1. 1.Department of StatisticsUniversity of North CarolinaChapel HillUSA

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