A Characterization of Joint Distribution of Two-Valued Random Variables and Its Applications
AbstractWe obtain an explicit representation for joint distribution of two-valued random variables with given marginals and for a copula corresponding to such random variables. The results are applied to prove a characterization of r-independent two-valued random variables in terms of their mixed first moments. The characterization is used to obtain an exact estimate for the number of almost independent random variables that can be defined on a discrete probability space and necessary conditions for a sequence of r-independent random variables to be stationary.
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): 83 (2002)
Issue (Month): 2 (November)
Contact details of provider:
Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Robertson, James B. & Womack, James M., 1985. "A pairwise independent stationary stochastic process," Statistics & Probability Letters, Elsevier, vol. 3(4), pages 195-199, July.
- Donald Brown & Rustam Ibragimov, 2005. "Sign Tests for Dependent Observations and Bounds for Path-Dependent Options," Yale School of Management Working Papers amz2581, Yale School of Management, revised 01 Jul 2005.
- Donald J. Brown & Rustam Ibragimov, 2005. "Sign Tests for Dependent Observations and Bounds for Path-Dependent Options," Cowles Foundation Discussion Papers 1518, Cowles Foundation for Research in Economics, Yale University.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If references are entirely missing, you can add them using this form.