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How close are pairwise and mutual independence?

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  • Nelsen, Roger B.
  • Úbeda-Flores, Manuel

Abstract

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.

Suggested Citation

  • Nelsen, Roger B. & Úbeda-Flores, Manuel, 2012. "How close are pairwise and mutual independence?," Statistics & Probability Letters, Elsevier, vol. 82(10), pages 1823-1828.
    • Handle: RePEc:eee:stapro:v:82:y:2012:i:10:p:1823-1828
    DOI: 10.1016/j.spl.2012.06.006
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    References listed on IDEAS

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    1. 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.
    2. 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.
    3. 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.
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