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On relationships between the Pearson and the distance correlation coefficients

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  • Edelmann, Dominic
  • Móri, Tamás F.
  • Székely, Gábor J.

Abstract

In this paper we show that for any fixed Pearson correlation coefficient strictly between −1 and 1, the distance correlation coefficient can take any value in the open unit interval (0,1).

Suggested Citation

  • Edelmann, Dominic & Móri, Tamás F. & Székely, Gábor J., 2021. "On relationships between the Pearson and the distance correlation coefficients," Statistics & Probability Letters, Elsevier, vol. 169(C).
    • Handle: RePEc:eee:stapro:v:169:y:2021:i:c:s0167715220302637
    DOI: 10.1016/j.spl.2020.108960
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    References listed on IDEAS

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    1. Dueck, Johannes & Edelmann, Dominic & Richards, Donald, 2017. "Distance correlation coefficients for Lancaster distributions," Journal of Multivariate Analysis, Elsevier, vol. 154(C), pages 19-39.
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