Egozcue, Martin
[VerfasserIn]
;
Garcia, Luis F.
[Sonstige Person, Familie und Körperschaft];
Wong, Wing-Keung
[Sonstige Person, Familie und Körperschaft];
Zitikis, Ricardas
[Sonstige Person, Familie und Körperschaft]
Gruss-Type Bounds for the Covariance of Transformed Random Variables
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 16, 2010 erstellt
Beschreibung:
A number of problems in economics, finance, information theory, insurance, and generally in decision making under uncertainty rely on estimates of the covariance between (transformed) random variables, which can for example be losses, risks, incomes, financial returns, etc. Several avenues relying on inequalities for analyzing the covariance are available in the literature, bearing the names of Chebyshev, Gruss, Hoeffding, Kantorovich, and others. In the present paper we sharpen the upper bound of a Gruss-type covariance inequality by incorporating a notion of quadrant dependence between random variables and also utilizing the idea of constraining the means of the random variables