Up- and down-correlations in normal variance mixture models

Jonathan Ansari, Tomer Shushi, Steven Vanduffel

Research output: Contribution to journalArticlepeer-review


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 languageEnglish
Article number109949
JournalStatistics and Probability Letters
StatePublished - 1 Feb 2024


  • Correlation
  • Dependence structure
  • Elliptical distribution
  • Linear model

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty


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