Test of association between multivariate stable vectors

Based on observations of d-dimensional random vectors in the domain of attr action of a stable distribution with (multi-) index alpha = (alpha(1),...,a lpha(d)), an estimator for the dependence function of the alpha(i)-stable v ariables is constructed. The estimator utilizes the alpha-tail-estimator an d an estimator of the spectral measure of the alpha-stable law. This estima tor gives rise to a test of association of the stable components and variou s quantitative measures of association. (C) 1999 Elsevier Science Ltd. All rights reserved.