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Constant Local Dependence

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  • Jones, M. C.

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.

Suggested Citation

  • Jones, M. C., 1998. "Constant Local Dependence," Journal of Multivariate Analysis, Elsevier, vol. 64(2), pages 148-155, February.
    • Handle: RePEc:eee:jmvana:v:64:y:1998:i:2:p:148-155
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    Citations

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    Cited by:

    1. 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.
    2. Abberger, Klaus, 2002. "Exploring local dependence," CoFE Discussion Papers 02/14, University of Konstanz, Center of Finance and Econometrics (CoFE).
    3. Ramesh Gupta, 2011. "Bivariate odds ratio and association measures," Statistical Papers, Springer, vol. 52(1), pages 125-138, February.
    4. Karoline Bax & Emanuele Taufer & Sandra Paterlini, 2022. "A generalized precision matrix for t-Student distributions in portfolio optimization," Papers 2203.13740, arXiv.org.
    5. 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.
    6. Gwo Dong Lin & Xiaoling Dou & Satoshi Kuriki, 2019. "The Bivariate Lack-of-Memory Distributions," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 81(2), pages 273-297, December.
    7. Indranil Ghosh & Osborne Banks, 2021. "A Study of Bivariate Generalized Pareto Distribution and its Dependence Structure Among Model Parameters," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(2), pages 575-604, November.
    8. 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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