Eigenanalysis on a bivariate covariance kernel

Carles M. Cuadras and Daniel Cuadras

Journal of Multivariate Analysis, 2008, vol. 99, issue 10, 2497-2507

Abstract: Certain constructions of copulas can be interpreted as an eigendecomposition of a kernel. We study some properties of the eigenfunctions and their integrals of a covariance kernel related to a bivariate distribution. The covariance between functions of random variables in terms of the cumulative distribution function is used. Some bounds for the trace of the kernel and some inequalities for a continuous random variable concerning a function and its derivative are obtained. We also obtain relations to diagonal expansions and canonical correlation analysis and, as a by-product, series of constants for some particular distributions.

Keywords: primary; 62H20; secondary; 60E05; FGM; family; Eigenfunctions; Hoeffding's; lemma; Inequalities; for; covariances; Positive; quadrant; dependence; Series; of; constants; Canonical; correlations (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (1)

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