LDP correlation problem
If we have the next case:
- X1 has a uniform distribution on [0,1]
- Explanatory variables are perfectly correlated X1=X2
And we calculate the LDP for X1 function:
g1LD(z)=EX2|X1=z(z+X2)=z+EX2|X1=z(X2)=2z.
The value reported is twice larger than the correct one.