Some counterexamples concerning maximal correlation and linear regression

Nickos Papadatos

Journal of Multivariate Analysis, 2014, vol. 126, issue C, 114-117

Abstract: A class of examples concerning the relationship of linear regression and maximal correlation is provided. More precisely, these examples show that if two random variables have (strictly) linear regression on each other, then their maximal correlation is not necessarily equal to their (absolute) correlation.

Keywords: Maximal correlation coefficient; Linear regression; Sarmanov theorem (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.jmva.2013.12.008

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