Maximal correlation in a non-diagonal case

F. López Blázquez and B. Salamanca Miño

Journal of Multivariate Analysis, 2014, vol. 131, issue C, 265-278

Abstract: We present a method for the obtention of the maximal correlation coefficient that extends the simple method given by Papadatos and Xifara (2013). We illustrate our method with the calculation of the maximal correlation between the kth largest order statistics of overlapping samples.

Keywords: Maximal correlation; Orthogonal polynomials; Tridiagonal matrices; Order statistics (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:131:y:2014:i:c:p:265-278

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DOI: 10.1016/j.jmva.2014.07.008

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