Abstract
Siegel (1993) presented a covariance identity involving normal variables that seems to flout notions of dependence. We show that it has an explanation from an unexpected quarter: convex geometry and the centroid known as the Steiner point. In the same geometric spirit, we introduce another identity for Gaussian covariances based on an Euler identity for the Steiner point.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have