How close are pairwise and mutual independence?
Using 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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Volume (Year): 82 (2012)
Issue (Month): 10 ()
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- Alsina, Claudi & Nelsen, Roger B. & Schweizer, Berthold, 1993. "On the characterization of a class of binary operations on distribution functions," Statistics & Probability Letters, Elsevier, vol. 17(2), pages 85-89, May.
- Fernández-Sánchez, Juan & Nelsen, Roger B. & Úbeda-Flores, Manuel, 2011. "Multivariate copulas, quasi-copulas and lattices," Statistics & Probability Letters, Elsevier, vol. 81(9), pages 1365-1369, September.
- Nelsen, Roger B. & Molina, José Juan Quesada & Lallena, José Antonio Rodríguez & Flores, Manuel Úbeda, 2004. "Best-possible bounds on sets of bivariate distribution functions," Journal of Multivariate Analysis, Elsevier, vol. 90(2), pages 348-358, August.
- repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
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