Up- and down-correlations in normal variance mixture models

Jonathan Ansari; Tomer Shushi; Steven Vanduffel

doi:10.1016/j.spl.2023.109949

Up- and down-correlations in normal variance mixture models

Jonathan Ansari, Tomer Shushi, Steven Vanduffel

Department of Business Administration

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

Abstract

We study conditional correlations in normal variance mixture models. For several families, we determine explicit formulas for up-(down-)correlations defined as the correlation between the sum of risks and an individual component, conditionally on the sum being large (small).

Original language	English
Article number	109949
Journal	Statistics and Probability Letters
Volume	205
DOIs	https://doi.org/10.1016/j.spl.2023.109949
State	Published - 1 Feb 2024

Keywords

Correlation
Dependence structure
Elliptical distribution
Linear model

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty

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10.1016/j.spl.2023.109949

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title = "Up- and down-correlations in normal variance mixture models",

abstract = "We study conditional correlations in normal variance mixture models. For several families, we determine explicit formulas for up-(down-)correlations defined as the correlation between the sum of risks and an individual component, conditionally on the sum being large (small).",

keywords = "Correlation, Dependence structure, Elliptical distribution, Linear model",

author = "Jonathan Ansari and Tomer Shushi and Steven Vanduffel",

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T1 - Up- and down-correlations in normal variance mixture models

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AU - Shushi, Tomer

AU - Vanduffel, Steven

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N2 - We study conditional correlations in normal variance mixture models. For several families, we determine explicit formulas for up-(down-)correlations defined as the correlation between the sum of risks and an individual component, conditionally on the sum being large (small).

AB - We study conditional correlations in normal variance mixture models. For several families, we determine explicit formulas for up-(down-)correlations defined as the correlation between the sum of risks and an individual component, conditionally on the sum being large (small).

KW - Correlation

KW - Dependence structure

KW - Elliptical distribution

KW - Linear model

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U2 - 10.1016/j.spl.2023.109949

DO - 10.1016/j.spl.2023.109949

M3 - Article

AN - SCOPUS:85175541202

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VL - 205

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

M1 - 109949

ER -

Up- and down-correlations in normal variance mixture models

Abstract

Keywords

ASJC Scopus subject areas

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