Article ID Journal Published Year Pages File Type
1152504 Statistics & Probability Letters 2011 7 Pages PDF
Abstract

Let {Xi,Yi}{Xi,Yi} be jointly distributed second-order random variables with correlation coefficient rr. The estimation of rr from the observations {Xi,Yi}i=1n is a classical problem which has been examined under the assumption of an i.i.d. setting. In this paper we examine the statistical properties of the correlation coefficient estimate when the process {Xi,Yi}{Xi,Yi} is dependent, constituting either a strongly mixing process or asymptotically uncorrelated. We establish convergence in probability (with rates) as well as asymptotic normality for the estimation error and present an explicit expression for the asymptotic variance.

Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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