John Nolan: A measure of dependence for stable distributions
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.
This is joint work with Tuncay Alparslan.
Recording during the thematic month on statistics - Week 4: "Extremes, copulas and actuarial science" the February 23, 2016 at the Centre International de Rencontres Mathématiques (Marseille, France)
Filmmaker: Guillaume Hennenfent
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