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On the Covariance between Functions

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  • Cuadras, C. M.

Abstract

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.

Suggested Citation

  • Cuadras, C. M., 2002. "On the Covariance between Functions," Journal of Multivariate Analysis, Elsevier, vol. 81(1), pages 19-27, April.
    • Handle: RePEc:eee:jmvana:v:81:y:2002:i:1:p:19-27
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    References listed on IDEAS

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    1. Cuadras, C. M., 1992. "Probability distributions with given multivariate marginals and given dependence structure," Journal of Multivariate Analysis, Elsevier, vol. 42(1), pages 51-66, July.
    2. Cuadras, C. M. & Fortiana, J., 1995. "A Continuous Metric Scaling Solution for a Random Variable," Journal of Multivariate Analysis, Elsevier, vol. 52(1), pages 1-14, January.
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