Consistency Property of Elliptic Probability Density Functions

Y. Kano

Journal of Multivariate Analysis, 1994, vol. 51, issue 1, 139-147

Abstract: Several conditions are established under which a family of elliptical probability density functions possesses a preferable consistency property. The consistency property ensures that any marginal distribution of a random vector whose distribution belongs to a specific elliptical family also belongs to the family. Elliptical distributions with the property must be a mixture of normal distributions.

Date: 1994
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