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Multiple regression on stable vectors

Author

Listed:
  • Cambanis, Stamatis
  • Wu, Wei

Abstract

We give necessary and sufficient conditions for the linearity of multiple regression on a general stable vector, along with a sufficient condition for the finiteness of the conditional absolute moment when 0

Suggested Citation

  • Cambanis, Stamatis & Wu, Wei, 1992. "Multiple regression on stable vectors," Journal of Multivariate Analysis, Elsevier, vol. 41(2), pages 243-272, May.
    • Handle: RePEc:eee:jmvana:v:41:y:1992:i:2:p:243-272
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    Citations

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    Cited by:

    1. Fries, Sébastien, 2018. "Conditional moments of noncausal alpha-stable processes and the prediction of bubble crash odds," MPRA Paper 97353, University Library of Munich, Germany, revised Nov 2019.
    2. Chen, Kim Heng & Jandhyala, Venkata K. & Fotopoulos, Stergios B., 2005. "Nonlinear Properties of Multifactor Financial Models," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, vol. 1(2), pages 1-27.
    3. Fotopoulos, Stergios B. & Jandhyala, Venkata K., 2004. "Bessel inequalities with applications to conditional log returns under GIG scale mixtures of normal vectors," Statistics & Probability Letters, Elsevier, vol. 66(2), pages 117-125, January.
    4. Fotopoulos, Stergios B. & Jandhyala, Venkata K. & Chen, Kim-Heng, 2007. "Non-linear properties of conditional returns under scale mixtures," Computational Statistics & Data Analysis, Elsevier, vol. 51(6), pages 3041-3056, March.
    5. Cambanis, Stamatis & Fotopoulos, Stergios B. & He, Lijian, 2000. "On the Conditional Variance for Scale Mixtures of Normal Distributions," Journal of Multivariate Analysis, Elsevier, vol. 74(2), pages 163-192, August.

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