Matching marginals and sums

Abstract

For a given set of random variables $X_1,\dots ,X_d$ we seek as large a family as possible of random variables $Y_1,\dots ,Y_d$ such that the marginal laws and the laws of the sums match: $Y_i\,{\buildrel d \over =}\,X_i$ and $\sum_iY_i\,{\buildrel d \over =}\,\sum_iX_i$. Under the assumption that $X_1,\dots ,X_d$ are independent and belong to any of the Meixner classes, we give a full characterisation of the random variables $Y_1,\dots ,Y_d$ and propose a practical construction by means of a finite mean square expansion. When $X_1,\dots ,X_d$ are identically distributed but not necessarily independent, using a symmetry-balancing approach we provide a universal construction with sufficient symmetry to satisfy the more stringent requirement that, for any symmetric function $g$, $g(Y)\,{\buildrel d \over =}\,g(X)$.

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