Convolution without independence

A-Tier
Journal: Journal of Econometrics
Year: 2019
Volume: 211
Issue: 1
Pages: 308-318

Score contribution per author:

4.022 = (α=2.01 / 1 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Widely used convolution and deconvolution techniques traditionally rely on independence assumptions, often criticized as being strong. We observe that the convolution theorem actually holds under a weaker assumption, known as subindependence. We show that this notion is arguably as weak as a conditional mean assumption. We report various simple characterizations of subindependence and devise constructive methods to generate subindependent random variables. We extend subindependence to multivariate settings and propose the new concepts of conditional and mean subindependence, relevant to measurement error problems. We finally introduce three tests of subindependence based on characteristic functions, generalized method of moments and randomization, respectively.

Technical Details

RePEc Handle
repec:eee:econom:v:211:y:2019:i:1:p:308-318
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-29