Covariance formulas via marginal martingales

DOI10.1111/J.1467-9574.1994.TB01443.XzbMATH0829.62097OpenAlexW2052370514MaRDI 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

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)

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

Cites work

• scientific article; zbMATH DE number 5604036 (Why is no real title available?)
• scientific article; zbMATH DE number 124972 (Why is no real title available?)
• Amendments and Corrections: Covariance and Survivor Function Estimation Using Censored Multivariate Failure Time Data
• Covariance and survivor function estimation using censored multivariate failure time data
• Fisher's information in terms of the hazard rate
• Some Concepts of Dependence

Cited in

(1)

• Covariance identity for multinomial trials.

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