Skip to main content

All Questions

Filter by
Sorted by
Tagged with
3 votes
1 answer
248 views

Log-convexity of conditional variances

Let $K$ be a positive integer and $C$ be any $K \times K$ non-singular matrix. For positive real numbers $q_1, \dots, q_K$, define $$\Sigma(q_1, \dots, q_K) = CC' + diag(\frac{1}{q_1}, \dots, \frac{1}...
Xiaosheng Mu's user avatar