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Teoriya Veroyatnostei i ee Primeneniya, 1970, Volume 15, Issue 2, Pages 304–309
(Mi tvp1813)
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This article is cited in 3 scientific papers (total in 3 papers)
Short Communications
On connection between two characteristics of dependence of Gaussian random vectors
I. A. Ibragimova, Yu. A. Rozanovb a Leningrad
b Moscow
Abstract:
Let $\xi$ and $\eta$ be Gaussian random vectors with distributions $\mathscr P_1(dx)$ and $\mathscr P_2(dy)$ respectvely, and with joint distribution $\mathscr P_{12}(dxdy)$. Let $I$ be the information about $\eta$, containing in $\xi$. Set
$$
V=\operatorname{Var}(\mathscr P_{12}-\mathscr P_1\times\mathscr P_2).
$$
In the paper connection between $I$ and $V$ is under investigation.
Received: 05.06.1969
Citation:
I. A. Ibragimov, Yu. A. Rozanov, “On connection between two characteristics of dependence of Gaussian random vectors”, Teor. Veroyatnost. i Primenen., 15:2 (1970), 304–309; Theory Probab. Appl., 15:2 (1970), 295–299
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https://www.mathnet.ru/eng/tvp1813 https://www.mathnet.ru/eng/tvp/v15/i2/p304
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Abstract page: | 247 | Full-text PDF : | 90 |
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