A simple method for obtaining the maximal correlation coefficient and related characterizations

Papadatos, Nickos and Xifara, Tatiana (2013) A simple method for obtaining the maximal correlation coefficient and related characterizations. Journal of Multivariate Analysis, 118. pp. 102-114.

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Abstract

We provide a method that enables the simple calculation of the maximal correlation coefficient of a bivariate distribution, under suitable conditions. In particular, the method readily applies to known results on order statistics and records. As an application we provide a new characterization of the exponential distribution: Under a splitting model on independent identically distributed observations, it is the (unique, up to a location-scale transformation) parent distribution that maximizes the correlation coefficient between the records among two different branches of the splitting sequence.

Item Type:
Journal Article
Journal or Publication Title:
Journal of Multivariate Analysis
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/2600/2613
Subjects:
?? maximal correlation coefficient characterization of exponential distributionorder statisticsrecordssplitting modelstatistics and probabilitystatistics, probability and uncertaintynumerical analysis ??
ID Code:
63290
Deposited By:
Deposited On:
08 Apr 2013 15:35
Refereed?:
Yes
Published?:
Published
Last Modified:
15 Jul 2024 13:44