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

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• 作者：Ambrose Lo ^{ambrose-lo@uiowa.edu}
• 关键词：Covariance ; Hoeffding&rsquo ; s lemma ; Lebesgue&ndash ; Stieltjes integral ; Measure of concordance ; Kendall&rsquo ; s tau
• 刊名：Statistics & Probability Letters
• 出版年：2017
• 出版时间：March 2017
• 年：2017
• 卷：122
• 期：Complete
• 页码：218-226
• 全文大小：422 K
• 卷排序：122

文摘

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.