Estimation of minimum and maximum correlation coefficients

Jim X. Xiang

Statistics & Probability Letters, 2019, vol. 145, issue C, 81-88

Abstract: To generate correlated data for given marginal distributions, it is essential that the desired Pearson correlation coefficient is between the minimum and maximum correlation coefficients. In this paper, we consider estimation of the minimum and maximum correlation coefficients of continuous random variables X andY. A strong law of large numbers and asymptotic normality are established for the estimators studied in this paper.

Keywords: Minimum and maximum correlation coefficients; Strong law of large number; Asymptotic normality; L-statistics (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1016/j.spl.2018.08.010

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