Covariance identities for normal variables via convex polytopes

Richard A. Vitale

Statistics & Probability Letters, 1996, vol. 30, issue 4, 363-368

Abstract: Siegel (1993) presented a covariance identity involving normal variables that seems to flout notions of dependence. Here we show that it has an explanation from an unexpected quarter: convex geometry and the centroid known as the Steiner point.

Keywords: Convex; polytope; Covariance; Gaussian; random; variable; Steiner; point (search for similar items in EconPapers)
Date: 1996
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