On the maximal correlation coefficient

A well-known theorem states that the maximal correlation between a pair of bivariate normal random variables equals the absolute value of their ordinary (Pearson) correlation. This work provides a short new proof, besides establishing some results regarding the maximal correlation coefficient in general.

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Year of publication:	2008
Authors:	Yu, Yaming
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 78.2008, 9, p. 1072-1075
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005137802