Kowalski, Aleksander; Rudiuk, Edmund - In: Journal of Multivariate Analysis 96 (2005) 1, pp. 20-29
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.