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AN EMPIRICAL STUDY OF THE ASYMPTOTIC LAWS OF SOME ESTIMATORS OF GENERALIZED ASSOCIATION PARAMETER AND SIGNED SYMMETRIC COVARIATION COEFFICIENT
Keywords:
symmetric alpha-stable random vector, covariation, association, correlation, spectral measure.DOI:
https://doi.org/10.17654/0972086322001Abstract
We investigate the asymptotic laws of some estimators of the generalized association parameter and the signed symmetric covariation coefficient in an empirical study. Estimators of the generalized association parameter (g.a.p) are based on two ways of estimating the spectral measure: the empirical characteristic function and one-dimensional projections of the data. The estimator of the signed symmetric covariation coefficient (scov) is based on fractional lower-order moments (FLOM). In the case of sub-Gaussian symmetric alpha-stable random vectors, the correlation coefficient between components of the Gaussian underlying vector coincides with the generalized association parameter and, when it exists, the signed symmetric covariation coefficient. The estimator of this quantity is based on fractional lower order moments.
Received: December 16, 2021
Accepted: January 22, 2022
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