On the Covariance between Functions

C. M. Cuadras

Journal of Multivariate Analysis, 2002, vol. 81, issue 1, 19-27

Abstract: The covariance between the functions of two random variables is obtained in terms of the cumulative distribution function. This result generalizes previous formulae given by W. Hoeffding (1940, Schriften Math. Inst. Univ. Berlin5, 181-233) and K. V. Mardia (1967, Biometrika54, 235-249). An expansion for the covariance, an inequality, a maximum correlation and other consequences are obtained from this generalization.

Keywords: Hoeffding's; lemma; given; marginals; generalized; covariance; covariance; expansion; Heaviside; distribution; maximum; correlation (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (47)

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