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Covariance identities for normal variables via convex polytopes

Author

Listed:
  • Vitale, Richard A.

Abstract

Siegel (1993) presented a covariance identity involving normal variables that seems to flout notions of dependence. Here we show that it has an explanation from an unexpected quarter: convex geometry and the centroid known as the Steiner point.

Suggested Citation

  • Vitale, Richard A., 1996. "Covariance identities for normal variables via convex polytopes," Statistics & Probability Letters, Elsevier, vol. 30(4), pages 363-368, November.
    • Handle: RePEc:eee:stapro:v:30:y:1996:i:4:p:363-368
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    References listed on IDEAS

    as
    1. Rinott, Yosef & Samuel-Cahn, Ester, 1994. "Covariance between variables and their order statistics for multivariate normal variables," Statistics & Probability Letters, Elsevier, vol. 21(2), pages 153-155, September.
    2. Liu, Jun S., 1994. "Siegel's formula via Stein's identities," Statistics & Probability Letters, Elsevier, vol. 21(3), pages 247-251, October.
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