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Functional generalizations of Hoeffding’s covariance lemma and a formula for Kendall’s tau

Ambrose Lo

Statistics & Probability Letters, 2017, vol. 122, issue C, 218-226

Abstract: This note extends Hoeffding’s lemma from the covariance between two random variables to that between transformations of random variables, and provides clarification of several existing functional generalizations. In the same spirit as these results, an explicit integral formula of Kendall’s tau for general, possibly discontinuous random variables is also determined.

Keywords: Covariance; Hoeffding’s lemma; Lebesgue–Stieltjes integral; Measure of concordance; Kendall’s tau (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spl.2016.11.016

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