On the Covariance between Functions
AbstractThe 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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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multivariate Analysis.
Volume (Year): 81 (2002)
Issue (Month): 1 (April)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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