A Simple Method for Obtaining the Maximal Correlation Coefficient and Related Characterizations
| Autor: | Papadatos, Nickos, Xifara, Tatiana |
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| Rok vydání: | 2012 |
| Předmět: | |
| Zdroj: | Journal of Multivariate Analysis (2013), vol. 118, pp. 102-114 |
| Druh dokumentu: | Working Paper |
| DOI: | 10.1016/j.jmva.2013.03.017 |
| Popis: | 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. Comment: Journal of Multivariate Analysis (to appear, 19 pages) |
| Databáze: | arXiv |
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