Covariance identities for normal variables via convex polytopes (Q1359756)
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scientific article; zbMATH DE number 1031773
| Language | Label | Description | Also known as |
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| English | Covariance identities for normal variables via convex polytopes |
scientific article; zbMATH DE number 1031773 |
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Covariance identities for normal variables via convex polytopes (English)
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6 July 1997
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The main result is an extension of a covariance identity involving correlated Gaussian random variables which is due to \textit{A. F. Siegel} [J. Am. Stat. Assoc. 88, No. 421, 77-80 (1993; Zbl 0772.62028)]. The obtained generalization of this identity reveals an interesting (rather unexpected) connection with basic notions and relationships from convex geometry such as support function and the Euler-Schlaefli functional for the Steiner point of a convex body.
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Gaussian random vector
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convex random polytope
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Steiner point
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covariance identity
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