A simple estimator for correlation in incomplete data

It seems fair that the usual sample correlation coefficient should allow improvement when additional samples from the marginals are available. However, some intuitive attempts fail badly. Using control variates, a simple method is presented which asymptotically achieves the optimal improvement.

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Year of publication:	1996
Authors:	Albers, W. ; Teulings, M. F.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 31.1996, 1, p. 51-57
Publisher:	Elsevier
Keywords:	Missing data Control variates Asymptotic relative efficiency

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005223123