Correlation is first order independent of transformation

Christopher Withers and Saralees Nadarajah ()

Statistical Papers, 2013, vol. 54, issue 2, 443-456

Abstract: We show that the correlation between the estimates of two parameters is almost unchanged if they are each transformed in an arbitrary way. To be more specific, the correlation of two estimates is invariant (except for a possible sign change) up to a first order approximation, to smooth transformations of the estimates. There is a sign change if exactly one of the transformations is decreasing in a neighborhood of its parameter. In addition, we approximate the variance, covariance and correlation between functions of sample means and moments. Copyright Springer-Verlag 2013

Keywords: Correlation; Covariance; Transformation; Variance; 62E20 (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1007/s00362-012-0442-5

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