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Up- and down-correlations in normal variance mixture models

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  • Ansari, Jonathan
  • Shushi, Tomer
  • Vanduffel, Steven

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).

Suggested Citation

  • Ansari, Jonathan & Shushi, Tomer & Vanduffel, Steven, 2024. "Up- and down-correlations in normal variance mixture models," Statistics & Probability Letters, Elsevier, vol. 205(C).
    • Handle: RePEc:eee:stapro:v:205:y:2024:i:c:s0167715223001736
    DOI: 10.1016/j.spl.2023.109949
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    References listed on IDEAS

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