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

Nickos Papadatos and Tatiana Xifara

Journal of Multivariate Analysis, 2013, vol. 118, issue C, 102-114

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.

Keywords: Maximal correlation coefficient; Characterization of exponential distribution; Order statistics; Records; Splitting model (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (6)

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DOI: 10.1016/j.jmva.2013.03.017

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