Coefficient of relationship for two symmetric alpha-stable variables when alpha is in the interval (1,2]

Stanislaus S. Uyanto

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 14, 6874-6881

Abstract: This article derives a new coefficient of relationship of two symmetric alpha-stable variables when alpha is in the interval (1,2] based on covariation. Its numerical value ranges from −1 to +1. Simulation studies are used to evaluate the performance of the coefficient of relationship estimators.

Date: 2017
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DOI: 10.1080/03610926.2015.1137599

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