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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
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
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
Linking options:
https://www.mathnet.ru/eng/tvp5380https://doi.org/10.4213/tvp5380 https://www.mathnet.ru/eng/tvp/v66/i3/p534
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Abstract page: | 145 | Full-text PDF : | 53 | References: | 42 | First page: | 7 |
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