A note on conditional variance and characterization of probability distributions

Piotr Jaworski and Marcin Pitera

Statistics & Probability Letters, 2020, vol. 163, issue C

Abstract: In this note we prove a novel characterization result stating that any distribution is determined uniquely up to an additive constant by its conditional variance function where the conditioning is based on double quantile trimming. We also outline potential statistical applications of the proposed characterization.

Keywords: Conditional variance; Characterization; Censored variance; Trimmed variance; Integrated quantile function; Quantile division (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2020.108800

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