Covariance matrices associated to general moments of a random vector

Songjun Lv

Journal of Multivariate Analysis, 2015, vol. 134, issue C, 61-70

Abstract: It turns out that there exist general covariance matrices associated not only to a random vector itself but also to its general moments. In this paper we introduce and characterize general covariance matrices of a random vector that are associated to some important general moments, which are determined by a specific class of convex functions. As special cases, the original covariance matrices of a random vector, as well as the pth covariance matrices characterized recently, are included. The covariance matrices associated to the p-power function distribution and the logistic distribution are characterized as by-products.

Keywords: Covariance matrix; Gaussian gauge; Power function distribution; Logistic distribution; Characterization (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1016/j.jmva.2014.10.007

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