Covariance identities for normal variables via convex polytopes
type: Item
instance of: scholarly article
title: Covariance identities for normal variables via convex polytopes
zbMATH Open document ID: 0878.60004
DOI: 10.1016/S0167-7152(96)00003-X
published in: Statistics \& Probability Letters
publication date: 1997-07-06T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 60D05
Mathematics Subject Classification ID: 60G15
Mathematics Subject Classification ID: 60E05
zbMATH DE Number: 1031773
zbMATH Keywords: Gaussian random vector
zbMATH Keywords: convex random polytope
zbMATH Keywords: Steiner point
zbMATH Keywords: covariance identity
author: Richard A. Vitale
reviewed by: Lothar Heinrich
MaRDI profile type: Publication
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full work available at URL: s0167-7152(96)00003-x
OpenAlex ID: W2063212562
description: scientific article; zbMATH DE number 1031773