On the Covariance between Functions

The covariance between the functions of two random variables is obtained in terms of the cumulative distribution function. This result generalizes previous formulae given by W. Hoeffding (1940, Schriften Math. Inst. Univ. Berlin5, 181-233) and K. V. Mardia (1967, Biometrika54, 235-249). An expansion for the covariance, an inequality, a maximum correlation and other consequences are obtained from this generalization.

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Year of publication:	2002
Authors:	Cuadras, C. M.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 81.2002, 1, p. 19-27
Publisher:	Elsevier
Keywords:	Hoeffding's lemma given marginals generalized covariance covariance expansion Heaviside distribution maximum correlation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005006387