Grüss-type bounds for covariances and the notion of quadrant dependence in expectation

DOI10.2478/S11533-011-0088-XMaRDI QIDQ651280zbMATH OpenOpenAlexFDO

Authors Martín Egozcue, Luis Fuentes García, Wing-Keung Wong, Ričardas Zitikis

Publication date 12 December 2011

Published in Central European Journal of Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivs 3.0 Unported

Full work available at URL https://doi.org/10.2478/s11533-011-0088-x

zbMATH Keywords

quadrant dependencecovariance boundCuadras representationHoeffding representationquadrant dependence in expectationGrüss's inequality

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Inequalities for sums, series and integrals (26D15)

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Cites work

• scientific article; zbMATH DE number 2148015 (Why is no real title available?)
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• Expectation dependence of random variables, with an application in portfolio theory
• General Stein-Type Covariance Decompositions with Applications to Insurance and Finance
• Generalized covariance inequalities
• Grüss's inequality, its probabilistic interpretation, and a sharper bound
• Grüss-type bounds for the covariance of transformed random variables
• Mathematical inequalities. A perspective
• Monotonic dependence functions of bivariate distributions
• New bounds for moments of continuous random variables
• On some covariance inequalities for monotonic and non-monotonic functions
• On the covariance between functions
• Prospect theory, indifference curves, and hedging risks
• Some Concepts of Dependence
• Weighted risk capital allocations

Cited in

(6)

• Model selection based on Lorenz and concentration curves, Gini indices and convex order
• Validation of positive expectation dependence
• Confidence band for expectation dependence with applications
• Covariance and comparison inequalities under quadrant dependence
• Preserving the Rothschild-Stiglitz type increase in risk with background risk: a characterization
• Grüss-type bounds for the covariance of transformed random variables

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