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On scale mixtures of normal distributions

✍ Scribed by WEST, MIKE


Book ID
121435165
Publisher
Oxford University Press
Year
1987
Tongue
English
Weight
141 KB
Volume
74
Category
Article
ISSN
0006-3444

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On the Conditional Variance for Scale Mi
✍ Stamatis Cambanis; Stergios B Fotopoulos; Lijian He πŸ“‚ Article πŸ“… 2000 πŸ› Elsevier Science 🌐 English βš– 210 KB

For a scale mixture of normal vector, X=A 1Γ‚2 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