A note on conditional covariance matrices for elliptical distributions

DOI10.1016/j.spl.2017.06.003zbMath1457.62157arXiv1703.00918OpenAlexW2607322753MaRDI QIDQ1687219

Piotr Jaworski, Marcin Pitera

Publication date: 22 December 2017

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

Full work available at URL: https://arxiv.org/abs/1703.00918

zbMATH Keywords

elliptical distributionconditional correlationconditional covarianceconditional variance matrixtail conditional variancetail covariance matrix

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Exact distribution theory in statistics (62E15) Probability distributions: general theory (60E05)

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• The 20-60-20 rule
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