Article ID Journal Published Year Pages File Type
5129734 Statistics & Probability Letters 2017 6 Pages PDF
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
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