Some counterexamples concerning maximal correlation and linear regression

A class of examples concerning the relationship of linear regression and maximal correlation is provided. More precisely, these examples show that if two random variables have (strictly) linear regression on each other, then their maximal correlation is not necessarily equal to their (absolute) correlation.

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Year of publication:	2014
Authors:	Papadatos, Nickos
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 126.2014, C, p. 114-117
Publisher:	Elsevier
Subject:	Maximal correlation coefficient \| Linear regression \| Sarmanov theorem

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

Persistent link: https://www.econbiz.de/10010753034