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On a correlation coefficient based on the L1-norm

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  • Adriano Pareto

    (Italian National Institute of Statistics)

Abstract

The Pearson product-moment correlation coefficient is the most commonly used measure to assess the strength and direction of the linear relationship between a pair of variables. However, it is extremely sensitive to outliers in the data, so it may be necessary to use its robust counterparts. This paper considers a correlation coefficient based on the L1-norm that has recently been proposed in the literature. Its properties are investigated for the first time and an original computational algorithm is presented, since the index cannot be computed directly but requires an iterative approach. Finally, some illustrative examples are discussed and a comparison with conventional measures is shown.

Suggested Citation

  • Adriano Pareto, 2024. "On a correlation coefficient based on the L1-norm," Statistical Papers, Springer, vol. 65(9), pages 5851-5871, December.
    • Handle: RePEc:spr:stpapr:v:65:y:2024:i:9:d:10.1007_s00362-024-01616-3
    DOI: 10.1007/s00362-024-01616-3
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    References listed on IDEAS

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    1. Diaz-Serrano, Luis, 2005. "Labor income uncertainty, skewness and homeownership: A panel data study for Germany and Spain," Journal of Urban Economics, Elsevier, vol. 58(1), pages 156-176, July.
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