Functional generalizations of Hoeffding's covariance lemma and a formula for Kendall's tau

DOI10.1016/j.spl.2016.11.016zbMath1416.60029OpenAlexW2554485126WikidataQ124831932 ScholiaQ124831932MaRDI QIDQ504509

Ambrose Lo

Publication date: 16 January 2017

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2016.11.016

zbMATH Keywords

Lebesgue-Stieltjes integralKendall's taucovarianceHoeffding's lemmameasure of concordance

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Probability distributions: general theory (60E05)

Related Items (6)

A further remark on the alternative expectation formula ⋮ Alternative expectation formulas for real-valued random vectors ⋮ Moment inequalities for nonnegative random variables ⋮ A general treatment of alternative expectation formulae ⋮ Central limit theorems for coupled particle filters ⋮ Demystifying the Integrated Tail Probability Expectation Formula

Cites Work

• On the covariance between functions
• Remarks on quantiles and distortion risk measures
• Contributions to the diagonal expansion of a bivariate copula with continuous extensions
• On the Structure of Locally Solid Topologies
• On the properties of some nonparametric concordance measures in the discrete case
• Some contributions to contingency-type bivariate distributions
• A NEW MEASURE OF RANK CORRELATION
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