On infinite covariance expansions

Marie Ernst; Gesine Reinert; Yvik Swan

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arXiv · 1906.08376

On infinite covariance expansions

Marie Ernst·Gesine Reinert·Yvik Swan

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Abstract

In this paper we provide a probabilistic representation of Lagrange's identity which we use to obtain Papathanasiou-type variance expansions of arbitrary order. Our expansions lead to generalized sequences of weights which depend on an arbitrarily chosen sequence of (non-decreasing) test functions. The expansions hold for arbitrary univariate target distribution under weak assumptions, in particular they hold for continuous and discrete distributions alike. The weights are studied under different sets of assumptions either on the test functions or on the underlying distributions. Many concrete illustrations for standard probability distributions are provided (including Pearson, Ord, Laplace, Rayleigh, Cauchy, and Levy distributions).

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Marie Ernst, Gesine Reinert, Yvik Swan. 2019-06-19. On infinite covariance expansions. https://arxiv.org/abs/1906.08376

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