Re: Marginals of a trivariate normal
- From: eggstone <zhi.ouyang@xxxxxxxxx>
- Date: Fri, 21 Sep 2007 06:30:11 -0700
On Sep 20, 4:34 pm, paleostat <paleol...@xxxxxxxxx> wrote:
I am trying to get clarity on the following problem, which was posed
to me by a friend (who claims to be the orignal formulator!). It's
very simple to state, but I am stuck. The answer is not known to me.
Here it is:
"Consider three random variables, X, Y, Z. we assume that each pair of
random variables follows a bivariate normal distribution. Is this
sufficient to state that the joint distribution of the three random
variables is normal?"
It is well known that normal marginals of a bivariate distribution
don't imply a joint normal. the previous question is to some extent a
generalization of this statement in higher dimensions.
Any insight is greatly appreciated!
-G
No, I won't think so. Although the counter example would not be
obvious to
construct. But I am sure you can make one by Copula methods.
Zhi
.
- Follow-Ups:
- Re: Marginals of a trivariate normal
- From: Herman Rubin
- Re: Marginals of a trivariate normal
- References:
- Marginals of a trivariate normal
- From: paleostat
- Marginals of a trivariate normal
- Prev by Date: Re: distribution of the mean induced by a Dirichlet distribution
- Next by Date: sex arab videos 2007 سكس عربي جديد فيديو sex
- Previous by thread: Marginals of a trivariate normal
- Next by thread: Re: Marginals of a trivariate normal
- Index(es):
Relevant Pages
|
