Maximal correlation in a non-diagonal case

We present a method for the obtention of the maximal correlation coefficient that extends the simple method given by Papadatos and Xifara (2013). We illustrate our method with the calculation of the maximal correlation between the kth largest order statistics of overlapping samples.

MoreLess

Year of publication:	2014
Authors:	López Blázquez, F. ; Salamanca Miño, B.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 131.2014, C, p. 265-278
Publisher:	Elsevier
Subject:	Maximal correlation \| Orthogonal polynomials \| Tridiagonal matrices \| Order statistics

More details

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

Persistent link: https://www.econbiz.de/10011042007