How close are pairwise and mutual independence?
AbstractUsing the technique of finding bounds on sets of copulas with particular properties, we compare the distribution of an n-dimensional (n≥3) vector of continuous pairwise independent random variables to the distribution of a similar vector of mutually independent random variables. We examine the n=3 case in detail, and provide asymptotic results in the general case.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 82 (2012)
Issue (Month): 10 ()
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