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Correlation in Lp-spaces

Author

Listed:
  • Kowalski, Aleksander
  • Rudiuk, Edmund

Abstract

An extension to an Lp-spaces, p>1, of Pearson-Kolmogorov-Renyi correlation ratio is constructed. It is proved that correlation does not exceed , and can be used as a measure of dependence of the random variable from a sigmafield.

Suggested Citation

  • Kowalski, Aleksander & Rudiuk, Edmund, 2005. "Correlation in Lp-spaces," Journal of Multivariate Analysis, Elsevier, vol. 96(1), pages 20-29, September.
    • Handle: RePEc:eee:jmvana:v:96:y:2005:i:1:p:20-29
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    References listed on IDEAS

    as
    1. Miller, Grady, 1978. "Properties of certain symmetric stable distributions," Journal of Multivariate Analysis, Elsevier, vol. 8(3), pages 346-360, September.
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