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Constant Local Dependence

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  • Jones, M. C.
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    Abstract

    The local dependence function is constant for the bivariate normal distribution. Here we identify all other distributions which also have constant local dependence. The key property is exponential family conditional distributions and a linear conditional mean. When given two marginal distributions only, this characterisation is not very helpful, and numerical solutions are necessary.

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    File URL: http://www.sciencedirect.com/science/article/B6WK9-45J4Y4G-1F/2/3a4b848a71fd80a8f1effbaceacb5bc7
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Multivariate Analysis.

    Volume (Year): 64 (1998)
    Issue (Month): 2 (February)
    Pages: 148-155

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    Handle: RePEc:eee:jmvana:v:64:y:1998:i:2:p:148-155

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    Related research

    Keywords: association; bivariate distribution; correlation;

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    Cited by:
    1. Saralees Nadarajah & Kosto Mitov & Samuel Kotz, 2003. "Local dependence functions for extreme value distributions," Journal of Applied Statistics, Taylor & Francis Journals, vol. 30(10), pages 1081-1100.
    2. Klaus Abberger, 2002. "Exploring local dependence," CoFE Discussion Paper 02-14, Center of Finance and Econometrics, University of Konstanz.
    3. Ip, Edward H. & Wang, Yuchung J. & Yeh, Yeong-nan, 2004. "Structural decompositions of multivariate distributions with applications in moment and cumulant," Journal of Multivariate Analysis, Elsevier, vol. 89(1), pages 119-134, April.
    4. Tjøstheim, Dag & Hufthammer, Karl Ove, 2013. "Local Gaussian correlation: A new measure of dependence," Journal of Econometrics, Elsevier, vol. 172(1), pages 33-48.

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