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Scaling behavior measured in cross-sectional studies through the tail index of a power law is prone to a bias. This hampers inference; in particular, time variation in estimated tail indices may be erroneous. In the case of a linear factor model, the factor biases the tail indices in the left and...
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In this paper a Canonical Correlation Analysis (CCA) is used to test the hypothesis r = r0 against the alternative r …
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We introduce the Gerber statistic, a robust measure of correlation. The statistic extends Kendall's Tau by counting the … standard Pearson correlation that is sensitive to outliers or the Spearman correlation that relies on ranking observations …
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