A note on the coefficients of elliptical random variables

Publication date: Available online 15 May 2019Source: Statistics & Probability LettersAuthor(s): Tomer ShushiAbstractIt is well-known that the sum of elliptical random variables with constant coefficients is also an elliptical random variable. In this note, we prove that the coefficients can also be random variables, such that the sum of elliptical random variables with random coefficients on a circle is also elliptically distributed. We then examine statistical implications by considering the projection pursuit with the underlying random variables.

Source: Statistics and Probability Letters - May 16, 2019 Category: Statistics Source Type: research