Multiple regression on stable vectors
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 < [alpha] <= 1.
Year of publication: |
1992
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Authors: | Cambanis, Stamatis ; Wu, Wei |
Published in: |
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 41.1992, 2, p. 243-272
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Publisher: |
Elsevier |
Keywords: | Stable random vectors linear multiple regression moving averages harmonizable processes |
Saved in:
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