On the Conditional Variance for Scale Mixtures of Normal Distributions

Stamatis Cambanis, Stergios Fotopoulos () and Lijian He

Journal of Multivariate Analysis, 2000, vol. 74, issue 2, 163-192

Abstract: For a scale mixture of normal vector, X=A1/2G, where X, G[set membership, variant]n and A is a positive variable, independent of the normal vector G, we obtain that the conditional variance covariance, Cov(X2 | X1), is always finite a.s. for m[greater-or-equal, slanted]2, where X1[set membership, variant]n and m

Keywords: heteroscedasticity; stable random vectors; marginal densities (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (9)

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