Exercise Solution 3.12

Many solutions are possible. A simple one is a discrete random vector X with PF

[s1]

You can confirm that the covariance between the two components is 0 but that conditional PFs ϕ1 and ϕ2 fail to satisfy

[s2]

 

Welcome!

Enter your address for insights that will transform your risk management.

Click the link in the email I just sent you to confirm your address and start your subscription.

Defining Risk

Enter your email address to receive your copy and subscribe to Glyn's Risk Management Newsletter.

Click the link in the email I just sent you to download your paper and start your subscription.