A generalization of Hoeffding’s lemma, and a new class of covariance inequalities
نویسنده
چکیده
MSC: primary 62H05 60E15 secondary 62M10 a b s t r a c t 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. Published by Elsevier B.V.
منابع مشابه
CS 269 : Machine Learning Theory Lecture 4 : Infinite Function Classes
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تاریخ انتشار 2009