Bernoulli

  • Bernoulli
  • Volume 7, Number 2 (2001), 343-350.

Remarks on the maximum correlation coefficient

Amir Dembo, Abram Kagan, and Lawrence A. Shepp

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Abstract

The maximum correlation coefficient between partial sums of independent and identically distributed random variables with finite second moment equals the classical (Pearson) correlation coefficient between the sums, and thus does not depend on the distribution of the random variables. This result is proved, and relations between the linearity of regression of each of two random variables on the other and the maximum correlation coefficient are discussed.

Article information

Source
Bernoulli, Volume 7, Number 2 (2001), 343-350.

Dates
First available in Project Euclid: 25 March 2004

Permanent link to this document
https://projecteuclid.org/euclid.bj/1080222081

Mathematical Reviews number (MathSciNet)
MR1828509

Zentralblatt MATH identifier
0981.62051

Keywords
correlation linear regression maximum correlation spherically symmetric distributions sums of independent random variables

Citation

Dembo, Amir; Kagan, Abram; Shepp, Lawrence A. Remarks on the maximum correlation coefficient. Bernoulli 7 (2001), no. 2, 343--350. https://projecteuclid.org/euclid.bj/1080222081


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