On the Conditional Variance for Scale Mi
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Stamatis Cambanis; Stergios B Fotopoulos; Lijian He
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Article
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2000
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Elsevier Science
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English
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For a scale mixture of normal vector, X=A 1ร2 G, where X, G # R n and A is a positive variable, independent of the normal vector G, we obtain that the conditional variance covariance, Cov(X 2 | X 1 ), is always finite a.s. for m 2, where X 1 # R n and m<n, and remains a.s. finite even for m=1, if an