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.
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页码：637 / 642
页数：6
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