On the maximal correlation coefficient

Yaming Yu

Statistics & Probability Letters, 2008, vol. 78, issue 9, 1072-1075

Abstract: A well-known theorem states that the maximal correlation between a pair of bivariate normal random variables equals the absolute value of their ordinary (Pearson) correlation. This work provides a short new proof, besides establishing some results regarding the maximal correlation coefficient in general.

Date: 2008
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Citations: View citations in EconPapers (5)

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