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Correlations Without Moments

Corrado Crocetta () and Nicola Loperfido ()

Quaderni DSEMS from Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia

Abstract: The definition of correlation is generalized to random vectors whose second moment may not exist. The properties of generalized correlation coefficient are investigated with respect to linear transformations and special families of distributions.

Date: 2003-11
New Economics Papers: this item is included in nep-ecm and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:ufg:qdsems:05-2003

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