A generalization of Hoeffding's lemma, and a new class of covariance inequalities

Brendan Beare

Statistics & Probability Letters, 2009, vol. 79, issue 5, 637-642

Abstract: We generalize Hoeffding's lemma to apply to covariances between functions of several random variables. Our generalization leads to a new class of covariance inequalities involving the Vitali or Hardy-Krause variation. These inequalities are relevant to the study of weakly dependent processes.

Date: 2009
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