On a multivariate generalization of the covariance. Issue 9 (3rd May 2017)

• Record Type: Journal Article
• Authors: Díaz, Walter; Cuadras, Carles M.
• Is Part Of: Communications in statistics. Volume 46:Issue 9(2017)
• Page Start: 4660
• Page End: 4669
• Publication Date: 2017-05-03
• Subjects: Covariance of functions -- Functions of bounded variation -- Given marginals -- Hoeffding's lemma -- Positive orthant dependent -- Positive quadrant dependence; 62H20 -- 60E05; Mathematical statistics -- Periodicals; Mathematics; Statistics; 519.2
• DOI: 10.1080/03610926.2015.1056368
• Languages: English
• ISSNs: 0361-0926

Abstract

ABSTRACT: Hoeffding's lemma provides a representation of the covariance of two random variables in terms of the difference between the joint and marginal distributions. This article proposes a multivariate generalization of the covariance between functions of bounded variation in the semialgebra of rectangles on . Some applications include the covariance inequality among functions where the variables are positive orthant dependent.