Timeline for Sum of covariance matrix of products of dependent variables
Current License: CC BY-SA 3.0
2 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Feb 3, 2014 at 9:25 | comment | added | user45947 | Thanks for instructive example. A small correction is that for even $n$ $$ \sum_{i\neq j} \mathrm{cov}(X_i, X_j) = -\frac{n}{2} X^2. $$ I think the example shows that a least condition for the suggested inequality to hold is that the independent sequences cannot share the same periodic structure as that forces positive covariance terms. Would you have any ideas for how to work that in towards a constructive proof? | |
| Feb 1, 2014 at 7:34 | history | answered | Bjørn Kjos-Hanssen | CC BY-SA 3.0 |