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Teoriya Veroyatnostei i ee Primeneniya, 2021, Volume 66, Issue 3, Pages 534–551
DOI: https://doi.org/10.4213/tvp5380
(Mi tvp5380)
 

This article is cited in 1 scientific paper (total in 1 paper)

Matching the distributions of the marginals and the sums for the Meixner class

R. Griffiths, K. Hamza

School of Mathematics, Monash University, Australia
Full-text PDF (408 kB) Citations (1)
References:
Abstract: For a given set of independent random variables (r.v.'s) $X_1,\dots,X_d$ belonging to a given Meixner class, we seek r.v.'s $Y_1,\dots,Y_d$ such that the marginal laws and the laws of the sums match: $Y_i\stackrel{d}{=} X_i$ and $\sum_iY_i\stackrel{d}{=}\sum_iX_i$. We give a full characterization of the r.v.'s $Y_1,\dots,Y_d$ and propose extensions and practical constructions by means of finite mean square expansions.
Keywords: Meixner class, mean square expansion, generating function, copula.
Received: 19.11.2019
Revised: 27.02.2020
English version:
Theory of Probability and its Applications, 2021, Volume 66, Issue 3, Pages 430–444
DOI: https://doi.org/10.1137/S0040585X97T990496
Bibliographic databases:
Document Type: Article
Language: English
Citation: R. Griffiths, K. Hamza, “Matching the distributions of the marginals and the sums for the Meixner class”, Teor. Veroyatnost. i Primenen., 66:3 (2021), 534–551; Theory Probab. Appl., 66:3 (2021), 430–444
Citation in format AMSBIB
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  • https://www.mathnet.ru/eng/tvp5380
  • https://doi.org/10.4213/tvp5380
  • https://www.mathnet.ru/eng/tvp/v66/i3/p534
  • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Теория вероятностей и ее применения Theory of Probability and its Applications
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    Abstract page:145
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    References:42
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