A note on the variance of the square components of a normal multivariate within a Euclidean ball

DOI10.1016/j.jmva.2013.08.011zbMath1283.60031arXiv1211.1614OpenAlexW2053999134MaRDI QIDQ391900

Simona Toti, Filippo Palombi

Publication date: 13 January 2014

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1211.1614

zbMATH Keywords

fixed point iterationcovariance matrix reconstructiondistributional truncation

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Multidimensional problems (41A63)

Related Items (4)

Ridge rerandomization: an experimental design strategy in the presence of covariate collinearity ⋮ Numerical reconstruction of the covariance matrix of a spherically truncated multinormal distribution ⋮ A perturbative approach to the reconstruction of the eigenvalue spectrum of a normal covariance matrix from a spherically truncated counterpart ⋮ Variance and covariance inequalities for truncated joint normal distribution via monotone likelihood ratio and log-concavity

Cites Work

• Numerical reconstruction of the covariance matrix of a spherically truncated multinormal distribution
• Negative association of random variables, with applications
• Probability Content of Regions Under Spherical Normal Distributions, I
• Increasing Properties of Polya Frequency Function
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