Variance of a random variable given value of other variables
In probability theory and statistics, a conditional variance is the variance of a random variable given the value(s) of one or more other variables.
Particularly in econometrics, the conditional variance is also known as the scedastic function or skedastic function.[1] Conditional variances are important parts of autoregressive conditional heteroskedasticity (ARCH) models.
^Spanos, Aris (1999). "Conditioning and regression". Probability Theory and Statistical Inference. New York: Cambridge University Press. pp. 339–356 [p. 342]. ISBN 0-521-42408-9.
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