Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
}
TY - JOUR
T1 - A simple method for obtaining the maximal correlation coefficient and related characterizations
AU - Papadatos, Nickos
AU - Xifara, Tatiana
PY - 2013/7
Y1 - 2013/7
N2 - 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.
AB - 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.
KW - Maximal correlation coefficient
KW - Characterization of exponential distribution
KW - Order statistics
KW - Records
KW - Splitting model
U2 - 10.1016/j.jmva.2013.03.017
DO - 10.1016/j.jmva.2013.03.017
M3 - Journal article
VL - 118
SP - 102
EP - 114
JO - Journal of Multivariate Analysis
JF - Journal of Multivariate Analysis
ER -