PairwiseIndependence

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Find a probability density function of three variables such that

  1. It is symmetric
  2. The marginal density of the remaining two are separable aka pair-wise independent
  3. It is not separable aka independent among the three variables

Let F(x,y,z)=(2xyz+x+y+z+12)49F(x,y,z)=( 2 x y z + x + y + z + \frac{1}{2} ) \frac{4}{9} the pdf of three [0,1[0,1] interval random variables. FF can not be separable. If FF would be separable then F(x,y,z)=H(x)H(y)H(z)F(x,y,z) = H(x)H(y)H(z) . Put y=z=xy = z = x then

H(x)=((2x 3+3x+12)49) 13\begin{aligned}H(x)= \left(\left( 2 x^3 + 3 x + \frac{1}{2}\right) \frac{4}{9}\right)^{\frac{1}{3}}\end{aligned}

but F(x,y,z)=H(x)H(y)H(z)F(x,y,z)= H(x)H(y)H(z) is not true.

The marginal pdf of two variables is G(x,y)=(xy+x+y+1)49=(x+1)(y+1)49G(x,y) = (x y + x + y + 1)\frac{4}{9} = (x + 1 ) ( y + 1) \frac{4}{9}

And marginal pdf of one variable is H(x)=(x+1)23H(x)= (x + 1)\frac{2}{3} and G(x,y)=H(x)H(y)G(x,y) = H(x)H(y)