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Error Bounds for Asymptotic Expansion of the Conditional Variance of the Scale Mixtures of the Multivariate Normal Distribution

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  • Stergios Fotopoulos
  • Lijian He

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  • Stergios Fotopoulos & Lijian He, 1999. "Error Bounds for Asymptotic Expansion of the Conditional Variance of the Scale Mixtures of the Multivariate Normal Distribution," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 51(4), pages 731-747, December.
    • Handle: RePEc:spr:aistmt:v:51:y:1999:i:4:p:731-747
    DOI: 10.1023/A:1004039431669
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    References listed on IDEAS

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    1. Cambanis, Stamatis & Fotopoulos, Stergios B. & He, Lijian, 2000. "On the Conditional Variance for Scale Mixtures of Normal Distributions," Journal of Multivariate Analysis, Elsevier, vol. 74(2), pages 163-192, August.
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    Cited by:

    1. B. Tarami & M. Pourahmadi, 2003. "Multi‐variate t Autoregressions: Innovations, Prediction Variances and Exact Likelihood Equations," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(6), pages 739-754, November.
    2. Chen, Kim Heng & Jandhyala, Venkata K. & Fotopoulos, Stergios B., 2005. "Nonlinear Properties of Multifactor Financial Models," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, vol. 1(2), pages 1-27.
    3. Fotopoulos, Stergios B., 2004. "Tempered distributions and their application in computing conditional moments for normal mixtures," Statistics & Probability Letters, Elsevier, vol. 67(3), pages 257-266, April.
    4. Fotopoulos, Stergios B. & Jandhyala, Venkata K. & Chen, Kim-Heng, 2007. "Non-linear properties of conditional returns under scale mixtures," Computational Statistics & Data Analysis, Elsevier, vol. 51(6), pages 3041-3056, March.
    5. Zhiqiang Jiang & Zhengyang Tang & Yi Liu & Yuyun Chen & Zhongkai Feng & Yang Xu & Hairong Zhang, 2019. "Area Moment and Error Based Forecasting Difficulty and its Application in Inflow Forecasting Level Evaluation," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 33(13), pages 4553-4568, October.

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    5. B. Tarami & M. Pourahmadi, 2003. "Multi‐variate t Autoregressions: Innovations, Prediction Variances and Exact Likelihood Equations," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(6), pages 739-754, November.
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