A conditional characterization of the multivariate normal distribution

If X is a k-dimensional random vector, we denote by X(i,j) the vector X with coordinates i and j deleted. If for each i, j the conditional distribution of Xi, Xj given X(i,j) = x(i,j) is classical bivariate normal for each then it is shown that X has a classical k-variate normal distribution.

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Year of publication:	1994
Authors:	Arnold, Barry C. ; Castillo, Enrique ; Sarabia, Jose María
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 19.1994, 4, p. 313-315
Publisher:	Elsevier
Keywords:	Bivariate conditionals classical normal distribution conditional specification

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005254453