A class of models for uncorrelated random variables

Nader Ebrahimi, G.G. Hamedani, Ehsan S. Soofi and Hans Volkmer

Journal of Multivariate Analysis, 2010, vol. 101, issue 8, 1859-1871

Abstract: We consider the class of multivariate distributions that gives the distribution of the sum of uncorrelated random variables by the product of their marginal distributions. This class is defined by a representation of the assumption of sub-independence, formulated previously in terms of the characteristic function and convolution, as a weaker assumption than independence for derivation of the distribution of the sum of random variables. The new representation is in terms of stochastic equivalence and the class of distributions is referred to as the summable uncorrelated marginals (SUM) distributions. The SUM distributions can be used as models for the joint distribution of uncorrelated random variables, irrespective of the strength of dependence between them. We provide a method for the construction of bivariate SUM distributions through linking any pair of identical symmetric probability density functions. We also give a formula for measuring the strength of dependence of the SUM models. A final result shows that under the condition of positive or negative orthant dependence, the SUM property implies independence.

Keywords: Convolution; Dependence; Farlie-Gumbel-Morgenstern; Kendall's; tau; Mutual; information; Spearman's; rho; Stochastic; equivalence; Sub-independence (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (7)

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