Conditional variance of symmetric stable variables
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.
KeywordsJoint Distribution Conditional Variance Stable Distribution Scale Mixture Stable Random Variable
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