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A note on conditional covariance matrices for elliptical distributions

Piotr Jaworski and Marcin Pitera

Statistics & Probability Letters, 2017, vol. 129, issue C, 230-235

Abstract: In this short note we provide an analytical formula for the conditional covariance matrices of the elliptically distributed random vectors, when the conditioning is based on the values of any linear combination of the marginal random variables. We show that one could introduce the univariate invariant depending solely on the conditioning set, which greatly simplifies the calculations.

Keywords: Elliptical distribution; Conditional covariance; Conditional correlation; Tail covariance matrix; Tail conditional variance; Conditional variance matrix (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spl.2017.06.003

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