Uncorrelatedness and Correlatedness of Powers of Random Variables

Abstract

Let xi(1),...,xi(n) be random variables and U be a subset of the Cartesian prodnet Z(+)(n), Z(+) being the set of all non-negative integers. The random variables are said to be strictly U-uncorrelated if E(xi(1)(j1) ... xi(n)(jn)) = E(xi(1)(j1)) ... E(xi(n)(jn)) double left right arrow (j(1), ..., j(n)) is an element of U. It is proved that for an arbitrary subset U subset of or equal to Z(+)(n) containing all points with 0 or I non-zero coordinates there exists a collection of n strictly U-uncorrelated random variables.