Correlations with tailored extremal properties
Statistics Theory
2020-10-22 v2 Statistics Theory
Abstract
Recently, Chatterjee has introduced a new coefficient of correlation which has several natural properties. In particular, the coefficient attains its maximal value if and only if one variable is a measurable function of the other variable. In this paper, we seek to define correlations which have a similar property, except now the measurable function must belong to a pre-specified class, which amounts to a shape restriction on the function. We will then look specifically at the correlation corresponding to the class of monotone nondecreasing functions, in which case we can prove various asymptotic results, as well as perform local power calculations.
Cite
@article{arxiv.2008.10177,
title = {Correlations with tailored extremal properties},
author = {Sky Cao and Peter J. Bickel},
journal= {arXiv preprint arXiv:2008.10177},
year = {2020}
}
Comments
33 pages. Added important references. Section 4.4 rewritten. Added Section 4.5