DIMACS TR: 2001-25

Remarks on the maximum correlation coefficient

Authors: Amir Dembo, Abram Kagan, and Lawrence A. Shepp


The maximum correlation coefficient between partial sums of independent identically distributed random variables with finite second moment equals the classical (Pearson) correlation coefficient between the sums and, thus, does not depend on the distribution of the random variables. Besides proving this, relations between linearity of regression of each of two random variables on the other and the maximum correlation coefficient are discussed.

Paper Available at: ftp://dimacs.rutgers.edu/pub/dimacs/TechnicalReports/TechReports/2001/2001-25.ps.gz
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