Yugu Xiao, Jing Yao 

【Publication Time】2020.04.29

【Lead Author】Yugu Xiao

【Corresponding Author】Jing Yao 

【Journal】 COMMUNICATIONS IN STATISTICS-THEORY AND METHODS

【Abstract】

This note studies the dependence of joint mix random vectors from the perspective of covariance matrix. We first provide two useful methods in simulations to construct joint mix for Normal distribution. Then, we propose to characterize joint mix by covariance matrix for general marginal distribution. We present some examples showing that our methodology could provide supplementary results to relevant studies in literature.

【Keywords】

Dependence, covariance matricx, joint mixability, copula