Correlation in Lp-spaces

Aleksander Kowalski and Edmund Rudiuk

Journal of Multivariate Analysis, 2005, vol. 96, issue 1, 20-29

Abstract: An extension to an Lp-spaces, p>1, of Pearson-Kolmogorov-Renyi correlation ratio is constructed. It is proved that correlation does not exceed , and can be used as a measure of dependence of the random variable from a sigmafield.

Keywords: Correlation; Measures; of; dependence; Metric; projections; Banach; spaces (search for similar items in EconPapers)
Date: 2005
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