Geodesic
On connection between two characteristics of dependence of Gaussian random vectors
Teoriâ veroâtnostej i ee primeneniâ, Tome 15 (1970) no. 2, pp. 304-309 Cet article a éte moissonné depuis la source Math-Net.Ru

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Let $\xi$ and $\eta$ be Gaussian random vectors with distributions $\mathscr P_1(dx)$ and $\mathscr P_2(dy)$ respectvely, and with joint distribution $\mathscr P_{12}(dxdy)$. Let $I$ be the information about $\eta$, containing in $\xi$. Set $$ V=\operatorname{Var}(\mathscr P_{12}-\mathscr P_1\times\mathscr P_2). $$ In the paper connection between $I$ and $V$ is under investigation. 
@article{TVP_1970_15_2_a9,
     author = {I. A. Ibragimov and Yu. A. Rozanov},
     title = {On connection between two characteristics of dependence of {Gaussian} random vectors},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {304--309},
     year = {1970},
     volume = {15},
     number = {2},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_1970_15_2_a9/}
}
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I. A. Ibragimov; Yu. A. Rozanov. On connection between two characteristics of dependence of Gaussian random vectors. Teoriâ veroâtnostej i ee primeneniâ, Tome 15 (1970) no. 2, pp. 304-309. http://geodesic.mathdoc.fr/item/TVP_1970_15_2_a9/