INDEPENDENCE OF DOUBLE WIENER INTEGRALS

Seiji Nabeya

Econometric Theory, 2001, vol. 17, issue 06, pages 1143-1155

Abstract: In this paper a necessary and sufficient condition is obtained for two double Wiener integrals to be statistically independent, first in the case of symmetric and continuous kernels. It is also shown that, for more than two double Wiener integrals, pairwise independence implies mutual independence. After that, the continuity condition on the kernels is somewhat relaxed, and it is shown that Craig s (1943, Annals of Mathematical Statistics 14, 195 197) theorem on the independence of quadratic forms in normal variables is a special case of the result obtained for the case of discontinuous kernels.

Date: 2001

Downloads: (external link)
http://journals.cambridge.org/abstract_S026646660117605X link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:17:y:2001:i:06:p:1143-1155_17

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press
Address: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Series data maintained by Mike Eden ().