Multivariate dependence and the Sarmanov-Lancaster expansion

  • Goodman I
  • Johnson D
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Abstract

We extend the work of Sarmanov and Lancaster to obtain an expansion for multivari- ate distributions. The expansion reveals a flexible, detailed dependence structure that goes beyond pairwise linear correlation to include non-linear and higher-order statistical ...

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Authors

  • Ilan N Goodman

  • Don H Johnson

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