Estimation of minimum and maximum correlation coefficients

Publication date: Available online 7 September 2018Source: Statistics & Probability LettersAuthor(s): Jim X. XiangAbstractTo generate correlated data for given marginal distributions, it is essential that the desired Pearson correlation coefficient is between the minimum and maximum correlation coefficients. In this paper, we consider estimation of the minimum and maximum correlation coefficients of continuous random variables X andY. A strong law of large numbers and asymptotic normality are established for the estimators studied in this paper.

Source: Statistics and Probability Letters - September 8, 2018 Category: Statistics Source Type: research