On infinite covariance expansions

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).

23 pages. This is an updated version of the second part of our previous arXiv submission on the same topic (arXiv:1812.10344) which we leave on the arXiv as a separate submission because it contains some material which may still be of interest