Estimation and comparison of signed symmetric covariation coefficient and generalized association parameter for alpha-stable dependence modeling

Accepté à Communications in Statistics - Theory and methodsInternational audienceIn this paper we study the estimators of two measures of dependence: the signed symmetric covariation coefficient proposed by Garel and Kodia and the generalized association parameter put forward by Paulauskas. In the sub-Gaussian case, the signed symmetric covariation coefficient and the generalized association parameter coincide. The estimator of the signed symmetric covariation coefficient proposed here is based on fractional lower-order moments. The estimator of the generalized association parameter is based on estimation of a stable spectral measure. We investigate the relative performance of these estimators by comparing results from simulations