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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Year of publication:	2012
Authors:	Nelsen, Roger B. ; Úbeda-Flores, Manuel
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 82.2012, 10, p. 1823-1828
Publisher:	Elsevier
Subject:	Copula \| Exchangeability \| Mutual independence \| Pairwise independence \| Quasi-copula

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011039920