A note on conditional covariance matrices for elliptical distributions

作者：Jaworski Piotr; Pitera Marcin^*

来源：Statistics & Probability Letters, 2017, 129: 230-235.

DOI：10.1016/j.spl.2017.06.003

• Elliptical distribution
• Conditional covariance
• Conditional correlation
• Tail covariance matrix
• Tail conditional variance
• Conditional variance matrix

In this short note we provide an analytical formula for the conditional covariance matrices of the elliptically distributed random vectors, when the conditioning is based on the values of any linear combination of the marginal random variables. We show that one could introduce the univariate invariant depending solely on the conditioning set, which greatly simplifies the calculations.

• 出版日期2017-10