Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1145910 | Journal of Multivariate Analysis | 2013 | 13 Pages |
Abstract
We provide a method that enables the simple calculation of the maximal correlation coefficient of a bivariate distribution, under suitable conditions. In particular, the method readily applies to known results on order statistics and records. As an application we provide a new characterization of the exponential distribution: Under a splitting model on independent identically distributed observations, it is the (unique, up to a location-scale transformation) parent distribution that maximizes the correlation coefficient between the records among two different branches of the splitting sequence.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Nickos Papadatos, Tatiana Xifara,