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A short note on the dependence structure of random vectors

Author

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  • González-Barrios, José M.
  • Gutiérrez-Peña, Eduardo
  • Rueda, Raúl

Abstract

In this note we define the concept of exhaustive dependence for a random vector X. In the case where the random vector X is not exhaustively dependent (e.d.), we give an easy decomposition of X in e.d. subvectors which are mutually independent. We also give sufficient conditions on bivariate subvectors of X in order for X to be e.d.

Suggested Citation

  • González-Barrios, José M. & Gutiérrez-Peña, Eduardo & Rueda, Raúl, 2019. "A short note on the dependence structure of random vectors," Statistics & Probability Letters, Elsevier, vol. 146(C), pages 200-205.
    • Handle: RePEc:eee:stapro:v:146:y:2019:i:c:p:200-205
    DOI: 10.1016/j.spl.2018.11.023
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    References listed on IDEAS

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    1. Kojadinovic, Ivan & Holmes, Mark, 2009. "Tests of independence among continuous random vectors based on Cramr-von Mises functionals of the empirical copula process," Journal of Multivariate Analysis, Elsevier, vol. 100(6), pages 1137-1154, July.
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