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Covariance identities for normal variables via convex polytopes |
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| Authors: | Richard A. Vitale |
| Affiliation: | Department of Statistics, University of Connecticut, Storrs, CT 06269-3120, USA |
| 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. |
| Keywords: | Convex polytope Covariance Gaussian random variable Steiner point |
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