On the Conditional Variance-Covariance of Stable Random Vectors, II
Under the assumption that X = (X 1, X 2) a (n 1 + n 2)-dimensional vector is strictly α-stable distributed, the conditional variance-covariance of X 2 given X 1 is expressed in terms of the spectral measure T. Moreover, if some additional assumptions on the vector X 1 are imposed such that the coordinates are statistically independent, then an additive expression for the conditional variance-covariance is found. A trigonometric unified method is presented for establishing these expressions.
Key words and phrasesStable distributions conditional moments nonlinear regression
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