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Estimation of minimum and maximum correlation coefficients

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  • Xiang, Jim X.

Abstract

To 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.

Suggested Citation

  • Xiang, Jim X., 2019. "Estimation of minimum and maximum correlation coefficients," Statistics & Probability Letters, Elsevier, vol. 145(C), pages 81-88.
    • Handle: RePEc:eee:stapro:v:145:y:2019:i:c:p:81-88
    DOI: 10.1016/j.spl.2018.08.010
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    References listed on IDEAS

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    1. Demirtas, Hakan & Hedeker, Donald, 2011. "A Practical Way for Computing Approximate Lower and Upper Correlation Bounds," The American Statistician, American Statistical Association, vol. 65(2), pages 104-109.
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    Cited by:

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