Matching marginals and sums

arXiv1911.07209MaRDI QIDQ6329323FDOQ6329323

Authors: Robert B. Griffiths, K. Hamza 

Publication date: 17 November 2019

Abstract: For a given set of random variables $X_1,ldots,X_d$ we seek as large a family as possible of random variables $Y_1,ldots,Y_d$ such that the marginal laws and the laws of the sums match: $$ and $$. Under the assumption that $X_1,ldots,X_d$ are independent and belong to any of the Meixner classes, we give a full characterisation of the random variables $Y_1,ldots,Y_d$ and propose a practical construction by means of a finite mean square expansion. When $X_1,ldots,X_d$ are identically distributed but not necessarily independent, using a symmetry-balancing approach we provide a universal construction with sufficient symmetry to satisfy the more stringent requirement that, for any symmetric function $g$, $$.

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Infinitely divisible distributions; stable distributions (60E07) Distribution theory (60E99)

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