Estimation and Comparison of Signed Symmetric Covariation Coefficient and Generalized Association Parameter for Alpha-stable Dependence Modeling

被引：11
|
作者：
Kodia, B. [1 ]
Garel, B. [1 ,2 ]
机构：
[1] Univ Toulouse, Inst Math Toulouse, Toulouse, France
[2] ENSEEIHT, Inst Natl Polytech Toulouse, Toulouse, France
来源：
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2014年 / 43卷 / 24期
关键词：
Association parameter; Covariation; Dependence; Spectral measure; DISTRIBUTIONS;
D O I：
10.1080/03610926.2012.730167
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper, we study the estimators of two measures of dependence: the signed symmetric covariation coefficient (scov) proposed by Garel and Kodia and the generalized association parameter (g.a.p.) put forward by Paulauskas. In the sub-Gaussian case, the scov and the g.a.p. coincide. The estimator of the scov proposed here is based on fractional lower-order moments. The estimator of the g.a.p. is based on estimation of a stable spectral measure. We investigate the relative performance of these estimators by comparing results from simulations.
引用
收藏
页码：5156 / 5174
页数：19
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