Error bounds for asymptotic expansion of the conditional variance of the scale mixtures of the multivariate normal distribution

DOI10.1023/A:1004039431669zbMath0977.62014OpenAlexW2087837794MaRDI QIDQ1974122

Lijian He, Stergios B. Fotopoulos

Publication date: 24 January 2002

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1004039431669

zbMATH Keywords

Laplace transformorthogonal polynomialsheteroscedasticityHermite polynomialsLaguerre polynomials

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (5)

The conditional variance for gamma mixtures of normal distributions ⋮ Multi‐variate t Autoregressions: Innovations, Prediction Variances and Exact Likelihood Equations ⋮ Tempered distributions and their application in computing conditional moments for normal mixtures ⋮ Non-linear properties of conditional returns under scale mixtures ⋮ Regression Properties for Asymmetric Generalized Scale Mixtures of Multivariate Gaussian Variables

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