A Simple Method for Obtaining the Maximal Correlation Coefficient and Related Characterizations
Methodology
2016-11-18 v3
Abstract
We provide a method that enables the simple calculation of the maximal correlation coefficient of a bivariate distribution, under suitable conditions. In particular, the method readily applies to known results on order statistics and records. As an application we provide a new characterization of the exponential distribution: Under a splitting model on independent identically distributed observations, it is the (unique, up to a location-scale transformation) parent distribution that maximizes the correlation coefficient between the records among two different branches of the splitting sequence.
Cite
@article{arxiv.1204.1632,
title = {A Simple Method for Obtaining the Maximal Correlation Coefficient and Related Characterizations},
author = {Nickos Papadatos and Tatiana Xifara},
journal= {arXiv preprint arXiv:1204.1632},
year = {2016}
}
Comments
Journal of Multivariate Analysis (to appear, 19 pages)