On relationships between the Pearson and the distance correlation coefficients

On relationships between the Pearson and the distance correlation coefficients

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).

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Veröffentlicht in:Statistics & probability letters 2021-02, Vol.169, p.108960, Article 108960
Hauptverfasser: Edelmann, Dominic, Móri, Tamás F., Székely, Gábor J.
Format: Artikel
Sprache:eng
Schlagworte:
Distance correlation
Distance covariance
Mixture distribution
Pearson correlation
Rademacher distribution
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Beschreibung
Zusammenfassung: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).
ISSN:0167-7152
1879-2103
DOI:10.1016/j.spl.2020.108960