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Maximal correlation in a non-diagonal case

Author

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  • López Blázquez, F.
  • Salamanca Miño, B.

Abstract

We present a method for the obtention of the maximal correlation coefficient that extends the simple method given by Papadatos and Xifara (2013). We illustrate our method with the calculation of the maximal correlation between the kth largest order statistics of overlapping samples.

Suggested Citation

  • López Blázquez, F. & Salamanca Miño, B., 2014. "Maximal correlation in a non-diagonal case," Journal of Multivariate Analysis, Elsevier, vol. 131(C), pages 265-278.
    • Handle: RePEc:eee:jmvana:v:131:y:2014:i:c:p:265-278
    DOI: 10.1016/j.jmva.2014.07.008
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    References listed on IDEAS

    as
    1. Papadatos, Nickos & Xifara, Tatiana, 2013. "A simple method for obtaining the maximal correlation coefficient and related characterizations," Journal of Multivariate Analysis, Elsevier, vol. 118(C), pages 102-114.
    2. Yu, Yaming, 2008. "On the maximal correlation coefficient," Statistics & Probability Letters, Elsevier, vol. 78(9), pages 1072-1075, July.
    3. Tyan, S. & Thomas, J. B., 1975. "Characterization of a class of bivariate distribution functions," Journal of Multivariate Analysis, Elsevier, vol. 5(2), pages 227-235, June.
    4. Papadatos, Nickos, 2014. "Some counterexamples concerning maximal correlation and linear regression," Journal of Multivariate Analysis, Elsevier, vol. 126(C), pages 114-117.
    Full references (including those not matched with items on IDEAS)

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