On determination of multivariate distribution by its marginals for the Kagan class

DOI10.1016/0047-259X(91)90064-9MaRDI QIDQ2641038zbMATH OpenOpenAlexFDO

Authors Jacek Wesołowski

Publication date 1991

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0047-259x(91)90064-9

zbMATH Keywords

characteristic functionsCramér characterization theoremDarmois- Skitovitch characterization theoremsKagan classmarginal characteristic functions

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Review text

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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• Gaussian conditional structure of the second order and the Kagan classification of multivariate distributions
• On some distributional and limit properties of factorizable distributions
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