Estimation and Comparison of Signed Symmetric Covariation Coefficient and Generalized Association Parameter for Alpha-stable Dependence Modeling

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