A Multivariate Extension of Hoeffding's Lemma.

Abstract

Hoeffding's Lemma gives an integral representation of the covariance of two random variables in terms of difference between their joint and marginal probability functions. This identity has been found to be useful tool in studying the dependence structure of various random vectors. A generalization of this result for more than 2 random variables is given. This involves an integral representation of the multivariate joint cumulant. Applications of this result include characterizations of independence. Relationships with various types of dependence are also given. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Nov 01, 1985
Accession Number
ADA170170

Entities

People

  • Henry W. Block
  • Zhaoben Fang

Organizations

  • University of Pittsburgh

Tags

DTIC Thesaurus Topics

  • Computing-Related Activities
  • Covariance
  • Data Science
  • Distribution Functions
  • Identities
  • Inequalities
  • Information Science
  • Integrals
  • Mathematical Analysis
  • Mathematics
  • Normal Distribution
  • Probability
  • Random Variables
  • Real Numbers
  • Statistical Analysis
  • Statistics

Fields of Study

  • Mathematics

Readers

  • Linear Algebra
  • Mathematical Modeling and Probability Theory.