Journal article
Functional generalizations of Hoeffding’s covariance lemma and a formula for Kendall’s tau
Statistics & probability letters, Vol.122, pp.218-226
03/2017
DOI: 10.1016/j.spl.2016.11.016
Abstract
This note extends Hoeffding’s lemma from the covariance between two random variables to that between transformations of random variables, and provides clarification of several existing functional generalizations. In the same spirit as these results, an explicit integral formula of Kendall’s tau for general, possibly discontinuous random variables is also determined.
•Generalizations of Hoeffding’s lemma to functions of random variables are developed.•Existing generalizations are clarified and limitations overcome.•A closed-form formula for Kendall’s tau for general random variables is derived.
Details
- Title: Subtitle
- Functional generalizations of Hoeffding’s covariance lemma and a formula for Kendall’s tau
- Creators
- Ambrose Lo - University of Iowa
- Resource Type
- Journal article
- Publication Details
- Statistics & probability letters, Vol.122, pp.218-226
- Publisher
- Elsevier B.V
- DOI
- 10.1016/j.spl.2016.11.016
- ISSN
- 0167-7152
- eISSN
- 1879-2103
- Grant note
- name: College of Liberal Arts and Sciences; DOI: 10.13039/100008893, name: University of Iowa; DOI: 10.13039/100008139, name: Society of Actuaries
- Language
- English
- Date published
- 03/2017
- Academic Unit
- Statistics and Actuarial Science
- Record Identifier
- 9984257744002771
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