Test of association between multivariate stable vectors

Based on observations of d-dimensional random vectors in the domain of attraction of a stable distribution with (multi-)index α = (α1, …, αd), an estimator for the dependence function of the αi-stable variables is constructed. The estimator utilizes the α-tail-estimator and an estimator of the spectral measure of the α-stable law. This estimator gives rise to a test of association of the stable components and various quantitative measures of association.