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Distance Correlation Coefficients for Lancaster Distributions

We consider the problem of calculating distance correlation coefficients between random vectors whose joint distributions belong to the class of Lancaster distributions. We derive under mild convergence conditions a general series representation for the distance covariance for these distributions. To illustrate the general theory, we apply the series representation to derive explicit expressions for the distance covariance and distance correlation coefficients for the bivariate normal distribution and its generalizations of Lancaster type, the multivariate normal distributions, and the bivariate gamma, Poisson, and negative binomial distributions which are of Lancaster type.