On the Conditional Variance-Covariance of Stable Random Vectors, II

1998 ◽  
pp. 123-140 ◽  
Author(s):  
Stergios B. Fotopoulos
Keyword(s):  
Conditional Variance ◽  
Random Vectors ◽  
Stable Random Vectors

On dispersion of stable random vectors and its application in the prediction of multivariate stable processes

1994 ◽  
Vol 31 (3) ◽  
pp. 691-699 ◽  
Author(s):  
A. Reza Soltani ◽  
R. Moeanaddin
Keyword(s):  
Stable Process ◽  
Stable Processes ◽  
Random Vectors ◽  
Linear Predictor ◽  
Error Vector ◽  
Best Linear Predictor ◽  
Definition Of ◽  
Stable Random Vectors

Our aim in this article is to derive an expression for the best linear predictor of a multivariate symmetric α stable process based on many past values. For this purpose we introduce a definition of dispersion for symmetric α stable random vectors and choose the linear predictor which minimizes the dispersion of the error vector.

scholarly journals A formula for hidden regular variation behavior for symmetric stable distributions

Extremes ◽  
2020 ◽  
Vol 23 (4) ◽  
pp. 667-691
Author(s):  
Malin Palö Forsström ◽  
Jeffrey E. Steif
Keyword(s):  
Power Law ◽  
Spectral Measure ◽  
Regular Variation ◽  
Stable Distributions ◽  
Decay Rates ◽  
Random Vectors ◽  
Power Law Decay ◽  
Exact Power ◽  
Hidden Regular Variation ◽  
Stable Random Vectors

Abstract We develop a formula for the power-law decay of various sets for symmetric stable random vectors in terms of how many vectors from the support of the corresponding spectral measure are needed to enter the set. One sees different decay rates in “different directions”, illustrating the phenomenon of hidden regular variation. We give several examples and obtain quite varied behavior, including sets which do not have exact power-law decay.

scholarly journals Inequalities of correlation type for symmetric stable random vectors

1996 ◽  
Vol 28 (1) ◽  
pp. 91-97 ◽  
Author(s):  
A.L. Koldobsky ◽  
S.J. Montgomery-Smith
Keyword(s):  
Random Vectors ◽  
Stable Random Vectors

scholarly journals Separation of alpha-stable random vectors

2020 ◽  
Vol 170 ◽  
pp. 107465
Author(s):  
Mathieu Fontaine ◽  
Roland Badeau ◽  
Antoine Liutkus
Keyword(s):  
Random Vectors ◽  
Stable Random Vectors

Exchangeable stable random vectors and their simulations

2000 ◽  
Vol 15 (2) ◽  
pp. 205-217 ◽  
Author(s):  
Adel Mohammadpour ◽  
A. Reza Soltani
Keyword(s):  
Random Vectors ◽  
Stable Random Vectors

On dispersion of stable random vectors and its application in the prediction of multivariate stable processes

1994 ◽  
Vol 31 (03) ◽  
pp. 691-699
Author(s):  
A. Reza Soltani ◽  
R. Moeanaddin
Keyword(s):  
Stable Process ◽  
Stable Processes ◽  
Random Vectors ◽  
Linear Predictor ◽  
Error Vector ◽  
Best Linear Predictor ◽  
Definition Of ◽  
Stable Random Vectors

Our aim in this article is to derive an expression for the best linear predictor of a multivariate symmetric α stable process based on many past values. For this purpose we introduce a definition of dispersion for symmetric α stable random vectors and choose the linear predictor which minimizes the dispersion of the error vector.

Sign in / Sign up

Export Citation Format

Share Document