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I have a probability book (for actuarial exam preparation) and the author states as an assumption that "if the probability space is rectangular" in order to show two random variables are independent:

http://i.imgur.com/RXLhoOE.png

I could not understand why we need this assumption, so I looked at my math stats book, and it appears the author here does not mention the rectangular region assumption:

http://i.imgur.com/mVtblPb.jpg

What is to be made of this?

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  • $\begingroup$ It is superfluous. $\endgroup$ – mathematician Mar 24 '15 at 17:28
  • $\begingroup$ Since the end points are allowed to be infinite, it really says nothing other than that you are dealing with two variables. $\endgroup$ – copper.hat Mar 24 '15 at 17:36
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In the mathematical statistics book, the support of $f(x_1,x_2)$ is the Cartesian product $S_1 \times S_2.$ This is a generalization of the slightly more elementary 'rectangular' space in the actuarial review book, where the two supports are intervals (the usual case in practice).

In either case, the intent is to exclude an example such as the following: Let the joint distribution be uniform over the triangle with vertices at (0,0), (0,1), and (1,0). It is easy to show that the two random variables with this joint PDF are not independent. The two marginals are BETA(1,2), each with the unit interval as support.

However, the product of the two beta marginal PDFs is not the same as the original distribution. This product produces a joint PDF with the entire unit square as its support. And of course its two associated random variables are independent.

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