On a multivariate generalization of the covariance

Walter Díaz and Carles M. Cuadras

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 9, 4660-4669

Abstract: Hoeffding’s lemma provides a representation of the covariance of two random variables in terms of the difference between the joint and marginal distributions. This article proposes a multivariate generalization of the covariance between functions of bounded variation in the semialgebra of rectangles on R2k$\mathbb {R}^{2k}$. Some applications include the covariance inequality among functions where the variables are positive orthant dependent.

Date: 2017
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DOI: 10.1080/03610926.2015.1056368

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