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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 2021 Volume 66, Issue 3, Pages 534–551 (Mi tvp5380)

This article is cited 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

Language: English

DOI: 10.4213/tvp5380


 English version:
Theory of Probability and its Applications, 2021, 66:3, 430–444

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© Steklov Math. Inst. of RAS, 2024