Automatic differentiation and maximal correlation of order statistics from discrete parents

Fernando López-Blázquez () and Begoña Salamanca-Miño ()
Additional contact information
Fernando López-Blázquez: Universidad de Sevilla
Begoña Salamanca-Miño: Universidad de Sevilla

Computational Statistics, 2021, vol. 36, issue 4, No 22, 2889-2915

Abstract: Abstract The maximal correlation is an attractive measure of dependence between the components of a random vector, however it presents the difficulty that its calculation is not easy. Here, we consider the case of bivariate vectors which components are order statistics from discrete distributions supported on $$N\ge 2$$ N ≥ 2 points. Except for the case $$N=2$$ N = 2 , the maximal correlation does not have a closed form, so we propose the use of a gradient based optimization method. The gradient vector of the objective function, the correlation coefficient of pairs of order statistics, can be extraordinarily complicated and for that reason an automatic differentiation algorithm is proposed.

Keywords: Automatic differentiation; Maximal correlation; Order statistics; Discrete distributions (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s00180-021-01103-5 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:compst:v:36:y:2021:i:4:d:10.1007_s00180-021-01103-5

Ordering information: This journal article can be ordered from
http://www.springer.com/statistics/journal/180/PS2

DOI: 10.1007/s00180-021-01103-5

Access Statistics for this article

Computational Statistics is currently edited by Wataru Sakamoto, Ricardo Cao and Jürgen Symanzik

More articles in Computational Statistics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().