LDP correlation problem
If we have the next case:
- \(X^1\) has a uniform distribution on \([0,1]\)
- Explanatory variables are perfectly correlated \(X^1=X^2\)
And we calculate the LDP for \(X^1\) function:
\[ g_{LD}^{1}(z) = E_{X^2|X^1=z}(z+X^2) = z + E_{X^2|X^1=z}(X^2) = 2z. \]
The value reported is twice larger than the correct one.