A note on conditional variance and characterization of probability distributions

DOI10.1016/J.SPL.2020.108800MaRDI QIDQ2006740zbMATH OpenOpenAlexFDO

Authors Piotr Jaworski, Marcin Pitera

Publication date 12 October 2020

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

Copyright license Creative Commons Attribution 4.0 International

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

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

Recommendations

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Cites work

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

Cited in

(8)

• Characterization of continuous distributions by properties of conditional variance
• scientific article; zbMATH DE number 2204557 (Why is no real title available?)
• Characterization based on convex conditional mean function
• Goodness-of-fit test for \(\alpha\)-stable distribution based on the quantile conditional variance statistics
• Characterization of discrete distributions by conditional variance
• A note on the equivalence between the conditional uncorrelation and the independence of random variables
• Goodness-of-fit tests for the one-sided Lévy distribution based on quantile conditional moments
• Gaussian dependence structure pairwise goodness-of-fit testing based on conditional covariance and the 20/60/20 rule

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