On determination of multivariate distribution by its marginals for the Kagan class (Q2641038)
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scientific article; zbMATH DE number 4189015
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| English | On determination of multivariate distribution by its marginals for the Kagan class |
scientific article; zbMATH DE number 4189015 |
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On determination of multivariate distribution by its marginals for the Kagan class (English)
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1991
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In order to extend the Cramér and Darmois-Skitovitch characterization theorems to classes of dependent random variables, \textit{A. M. Kagan} [Theory Prob. Appl. 33, No.2, 286-295 (1988); translation from Teor. Veroyatn. Primen. 33, No.2, 305-314 (1988; Zbl 0704.62010)] introduced some classes of random vectors. The present author obtains a general formula expressing the characteristic function of any vector from the Kagan class \({\mathcal D}_{mk}(loc)\) in terms of its marginal characteristic functions. Some applications of this result are given.
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Cramér characterization theorem
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characteristic functions
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Darmois- Skitovitch characterization theorems
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Kagan class
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marginal characteristic functions
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0.7929656505584717
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