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Variance of sum equals sum of variances is not sufficient for pairwise uncorrelated for more than 2 random variables. Simplest counterargument is any Cov(A,B)
by waldrews 14y ago
Variance of sum equals sum of variances is not sufficient for pairwise uncorrelated for more than 2 random variables. Simplest counterargument is any Cov(A,B)=-Cov(B,C)!=0 for three variables.
Closest results I can think of to the "iff" they're getting at:
If sum var=var sum for all linear transformations of the individual variables (i.e. X_i -> a_i*X_i), that's sufficient for pairwise uncorrelated;
If sum var=var sum for all transformations of the variables for which variances exist (i.e. X_i -> f_i(X_i)), that should be sufficient for independence (but I don't think that's an easy proof and maybe I'm missing technical conditions).
- mturmon 14y agoYou're right, there's no way that could work for >2 variables.