Conditional variance

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.

  1. ^ 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.