Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5129734 | Statistics & Probability Letters | 2017 | 6 Pages |
Abstract
In this short note we provide an analytical formula for the conditional covariance matrices of the elliptically distributed random vectors, when the conditioning is based on the values of any linear combination of the marginal random variables. We show that one could introduce the univariate invariant depending solely on the conditioning set, which greatly simplifies the calculations.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Piotr Jaworski, Marcin Pitera,