On relationships between the Pearson and the distance correlation coefficients

Dominic Edelmann, Tamás F. Móri and Gábor J. Székely

Statistics & Probability Letters, 2021, vol. 169, issue C

Abstract: In this paper we show that for any fixed Pearson correlation coefficient strictly between −1 and 1, the distance correlation coefficient can take any value in the open unit interval (0,1).

Keywords: Distance correlation; Pearson correlation; Distance covariance; Mixture distribution; Rademacher distribution (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (13)

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DOI: 10.1016/j.spl.2020.108960

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