Covariance formulas via marginal martingales

DOI10.1111/J.1467-9574.1994.TB01443.XzbMATH Open0829.62097OpenAlexW2052370514MaRDI QIDQ4850107FDOQ4850107

Authors: Jon A. Wellner 

Publication date: 24 January 1996

Published in: Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9574.1994.tb01443.x

Recommendations

• Covariation de convolution de martingales
• On a multidimensional martingale with given conditional covariance structure
• On the conditional covariance condition in the martingale CLT
• On correlation calculus for multivariate martingales
• Quadratic covariation and Itô's formula for smooth nondegenerate martingales
• Quadratic covariation and Itô's formula for smooth nondegenerate martingales
• Representation of Gaussian semimartingales with applications to the covariance function

zbMATH Keywords

covariance functionbivariate distributionjoint survival functiondependent survival timesHoeffding's formulamarginal counting process martingalesmarginal mean residual life functions

Mathematics Subject Classification ID

Reliability and life testing (62N05) Applications of statistics to biology and medical sciences; meta analysis (62P10) Martingales with continuous parameter (60G44)

Cites Work

• Covariance and survivor function estimation using censored multivariate failure time data
• Some Concepts of Dependence
• Fisher's information in terms of the hazard rate
• Title not available (Why is that?)
• Title not available (Why is that?)
• Amendments and Corrections: Covariance and Survivor Function Estimation Using Censored Multivariate Failure Time Data

Cited In (1)

• Covariance identity for multinomial trials.

This page was built for publication: Covariance formulas via marginal martingales

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4850107)