On the conditional variance for scale mixtures of normal distributions

DOI10.1006/jmva.1999.1888zbMath0962.62010MaRDI QIDQ1587358

Stamatis Cambanis, Stergios B. Fotopoulos, Lijian He

Publication date: 18 June 2001

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

Full work available at URL: https://doi.org/10.1006/jmva.1999.1888

zbMATH Keywords

heteroscedasticity; stable random vectors; marginal densities

Mathematics Subject Classification ID

60E07: Infinitely divisible distributions; stable distributions

62E15: Exact distribution theory in statistics

60E10: Characteristic functions; other transforms

62E10: Characterization and structure theory of statistical distributions

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Cites Work

• Existence of joint moments of stable random variables
• On the theory of elliptically contoured distributions
• Multiple regression on stable vectors
• Mixtures of distributions, moment inequalities and measures of exponentiality and normality
• Metric spaces and completely monontone functions
• On the linearity of regression
• Elliptically contoured measures on infinite-dimensional Banach spaces
• Infinite Divisibility and Variance Mixtures of the Normal Distribution
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