A consistent local linear estimator of the covariate adjusted correlation coefficient

Danh V. Nguyen and Damla Sentürk

Statistics & Probability Letters, 2009, vol. 79, issue 15, 1684-1689

Abstract: Consider the correlation between two random variables (X,Y), both not directly observed. One only observes and , where all four functions {[phi]l([dot operator]),[psi]l([dot operator]),l=1,2} are unknown/unspecified smooth functions of an observable covariate U. We consider consistent estimation of the correlation between the unobserved variables X and Y, adjusted for the above general dual additive and multiplicative effects of U, based on the observed data .

Date: 2009
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