Accession Number:

ADA170170

Title:

A Multivariate Extension of Hoeffding's Lemma.

Descriptive Note:

Technical rept.,

Corporate Author:

PITTSBURGH UNIV PA DEPT OF MATHEMATICS AND STATISTICS

Personal Author(s):

Report Date:

1985-11-01

Pagination or Media Count:

24.0

Abstract:

Hoeffdings 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

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE