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Covariance matrices associated to general moments of a random vector

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  • Lv, Songjun

Abstract

It turns out that there exist general covariance matrices associated not only to a random vector itself but also to its general moments. In this paper we introduce and characterize general covariance matrices of a random vector that are associated to some important general moments, which are determined by a specific class of convex functions. As special cases, the original covariance matrices of a random vector, as well as the pth covariance matrices characterized recently, are included. The covariance matrices associated to the p-power function distribution and the logistic distribution are characterized as by-products.

Suggested Citation

  • Lv, Songjun, 2015. "Covariance matrices associated to general moments of a random vector," Journal of Multivariate Analysis, Elsevier, vol. 134(C), pages 61-70.
    • Handle: RePEc:eee:jmvana:v:134:y:2015:i:c:p:61-70
    DOI: 10.1016/j.jmva.2014.10.007
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