Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1145603 | Journal of Multivariate Analysis | 2015 | 14 Pages |
Abstract
We introduce the concept of an extremely negatively dependent (END) sequence of random variables with a given common marginal distribution. An END sequence has a partial sum which, subtracted by its mean, does not diverge as the number of random variables goes to infinity. We show that an END sequence always exists for any given marginal distributions with a finite mean and we provide a probabilistic construction. Through such a construction, the partial sum of identically distributed but dependent random variables is controlled by a random variable that depends only on the marginal distribution of the sequence. We provide some properties and examples of our construction. The new concept and derived results are used to obtain asymptotic bounds for risk aggregation with dependence uncertainty.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Bin Wang, Ruodu Wang,