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Conditional moments and linear regression for stable random variables

Author

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  • Samorodnitsky, Gennady
  • Taqqu, Murad S.

Abstract

Jointly [alpha]-stable random variables with index 0

Suggested Citation

  • Samorodnitsky, Gennady & Taqqu, Murad S., 1991. "Conditional moments and linear regression for stable random variables," Stochastic Processes and their Applications, Elsevier, vol. 39(2), pages 183-199, December.
    • Handle: RePEc:eee:spapps:v:39:y:1991:i:2:p:183-199
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    Citations

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    Cited by:

    1. Kokoszka, Piotr S. & Taqqu, Murad S., 1996. "Infinite variance stable moving averages with long memory," Journal of Econometrics, Elsevier, vol. 73(1), pages 79-99, July.
    2. 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.
    3. Cioczek-Georges, Renata & Taqqu, Murad S., 1995. "Necessary conditions for the existence of conditional moments of stable random variables," Stochastic Processes and their Applications, Elsevier, vol. 56(2), pages 233-246, April.

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