The conditional variance for gamma mixtures of normal distributions
S. Fotopoulos, Lijian He · Statistics · 2001
This paper is concerned with obtaining an expression for the conditional variance-covariance matrix when the random vector is gamma scaled of a multivariate normal distribution. We show that the conditional variance is not degenerate as in the multivariate normal distribution, but depends upon a positive function for which various asymptotic properties are derived. A discussion section is included commenting on the usefulness of these results