A generalization of Hoeffding's lemma, and a new class of covariance inequalities

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.

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Year of publication:	2009
Authors:	Beare, Brendan K.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 79.2009, 5, p. 637-642
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005137925