Constant Local Dependence
AbstractThe 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multivariate Analysis.
Volume (Year): 64 (1998)
Issue (Month): 2 (February)
Contact details of provider:
Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- 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.
- Tjøstheim, Dag & Hufthammer, Karl Ove, 2013. "Local Gaussian correlation: A new measure of dependence," Journal of Econometrics, Elsevier, vol. 172(1), pages 33-48.
- Saralees Nadarajah & Kosto Mitov & Samuel Kotz, 2003. "Local dependence functions for extreme value distributions," Journal of Applied Statistics, Taylor and Francis Journals, vol. 30(10), pages 1081-1100.
- Klaus Abberger, 2002. "Exploring local dependence," CoFE Discussion Paper 02-14, Center of Finance and Econometrics, University of Konstanz.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wendy Shamier).
If references are entirely missing, you can add them using this form.