A generalization of Hoeffding's lemma, and a new class of covariance inequalities

被引：6

作者：

Beare, Brendan K. ^{[1
]}

机构：

[1] Univ Calif San Diego, Dept Econ, La Jolla, CA 92093 USA

来源：

STATISTICS & PROBABILITY LETTERS | 2009年 / 79卷 / 05期

关键词：

BOUNDED VARIATION; THEOREM;

D O I：

10.1016/j.spl.2008.10.012

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We generalize Hoeffding's lemma to apply to covariances between functions of several random variables. Our generalization leads to a new class of covariance inequalities involving the Vitali or Hardy-Krause variation. These inequalities are relevant to the study of weakly dependent processes. Published by Elsevier B.V.

引用

页码：637 / 642

页数：6

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