A note on conditional variance and characterization of probability distributions

DOI10.1016/j.spl.2020.108800zbMath1450.62016OpenAlexW3017781650MaRDI QIDQ2006740

Piotr Jaworski, Marcin Pitera

Publication date: 12 October 2020

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2020.108800

zbMATH Keywords

characterizationconditional variancecensored varianceintegrated quantile functionquantile divisiontrimmed variance

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Probability distributions: general theory (60E05) Characterization and structure theory of statistical distributions (62E10)

Related Items (2)

Goodness-of-fit test for \(\alpha\)-stable distribution based on the quantile conditional variance statistics ⋮ A note on the equivalence between the conditional uncorrelation and the independence of random variables

Cites Work

• The 20-60-20 rule
• Characterizations of univariate continuous distributions
• Characterization of continuous distributions by properties of conditional variance
• A unified approach to characterization problems using conditional expectations
• Characterizations based on conditional expectations of the doubled truncated distribution
• A note on conditional covariance matrices for elliptical distributions
• A conditional variance characterization of some discrete probability distributions
• Characterization of Continuous Distributions by Variance Bound and Its Implications to Reliability Modeling and Catastrophe Theory
• On Characterization of Some Distributions by Truncation Properties
• Advanced Probability Theory, Second Edition,

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