Up- and down-correlations in normal variance mixture models

Jonathan Ansari, Tomer Shushi and Steven Vanduffel ()

Statistics & Probability Letters, 2024, vol. 205, issue C

Abstract: We study conditional correlations in normal variance mixture models. For several families, we determine explicit formulas for up-(down-)correlations defined as the correlation between the sum of risks and an individual component, conditionally on the sum being large (small).

Keywords: Dependence structure; Correlation; Elliptical distribution; Linear model (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1016/j.spl.2023.109949

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