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On Gebelein's correlation coefficient

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  • Novak, S.Y.

Abstract

The paper answers a question raised by Dembo et al. (2001) about the relationship between Pearson's and Gebelein's correlation coefficients for sums of random variables.

Suggested Citation

  • Novak, S.Y., 2004. "On Gebelein's correlation coefficient," Statistics & Probability Letters, Elsevier, vol. 69(3), pages 299-303, September.
    • Handle: RePEc:eee:stapro:v:69:y:2004:i:3:p:299-303
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    References listed on IDEAS

    as
    1. Basrak, Bojan & Davis, Richard A. & Mikosch, Thomas, 2002. "Regular variation of GARCH processes," Stochastic Processes and their Applications, Elsevier, vol. 99(1), pages 95-115, May.
    2. GIRAITIS, Liudas & KOKOSZKA, Piotr & LEIPUS, Remigijus & TEYSSIÈRE, Gilles, 2003. "On the power of R/S-type tests under contiguous and semi-long memory alternatives," LIDAM Reprints CORE 1638, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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