The conditional variance for gamma mixtures of normal distributions

DOI10.1080/02331880108802739zbMath0995.62060OpenAlexW2019163305MaRDI QIDQ4547507

Lijian He, Stergios B. Fotopoulos

Publication date: 23 October 2002

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331880108802739

zbMATH Keywords

conditional variance-covariance matrixscale mixtures of normal variates

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 (3)

Bessel inequalities with applications to conditional log returns under GIG scale mixtures of normal vectors. ⋮ Tempered distributions and their application in computing conditional moments for normal mixtures ⋮ Non-linear properties of conditional returns under scale mixtures

Cites Work

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• On the theory of elliptically contoured distributions
• Nonlinear regression of stable random variables
• Spherically invariant processes: Their nonlinear structure, discrimination, and estimation
• On the conditional variance for scale mixtures of normal distributions
• Error bounds for asymptotic expansion of the conditional variance of the scale mixtures of the multivariate normal distribution

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