An upper bound and a characterization for Gini's mean difference based on correlated random variables

DOI10.1016/J.SPL.2024.110032arXiv2301.07229MaRDI QIDQ6423675FDOQ6423675

Authors: Roberto Vila, Narayanaswamy Balakrishnan, Helton Saulo 

Publication date: 17 January 2023

Abstract: In this paper, we obtain an upper bound for the Gini mean difference based on mean, variance and correlation for the case when the variables are correlated. We also derive some closed-form expressions for the Gini mean difference when the random variables have an absolutely continuous joint distribution. We then examine some particular examples based on elliptically contoured distributions, and specifically multivariate normal and Student-$t$ distributions.

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Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Applications of statistics to economics (62P20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Cited In (1)

• Generalized Gini's mean difference through distortions and copulas, and related minimizing problems

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