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