Correlation in Lp-spaces

An extension to an Lp-spaces, p>1, of Pearson-Kolmogorov-Renyi correlation ratio is constructed. It is proved that correlation does not exceed , and can be used as a measure of dependence of the random variable from a sigmafield.

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Year of publication:	2005
Authors:	Kowalski, Aleksander ; Rudiuk, Edmund
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 96.2005, 1, p. 20-29
Publisher:	Elsevier
Keywords:	Correlation Measures of dependence Metric projections Banach spaces

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

Persistent link: https://www.econbiz.de/10005160427