A conditional characterization of the multivariate normal distribution

Barry C. Arnold, Enrique Castillo and José María Sarabia ()

Statistics & Probability Letters, 1994, vol. 19, issue 4, 313-315

Abstract: If X is a k-dimensional random vector, we denote by X(i,j) the vector X with coordinates i and j deleted. If for each i, j the conditional distribution of Xi, Xj given X(i,j) = x(i,j) is classical bivariate normal for each then it is shown that X has a classical k-variate normal distribution.

Keywords: Bivariate; conditionals; classical; normal; distribution; conditional; specification (search for similar items in EconPapers)
Date: 1994
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