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.
Volume (Year): 81 (2002)
Issue (Month): 1 (April)
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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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