Maximal correlation coefficient

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A measure of dependence of two random variables $X$ and $Y$, defined as the least upper bound of the values of the correlation coefficients between the real random variables $\phi _ {1} ( X)$ and $\phi _ {2} ( Y)$, which are functions of $X$ and $Y$ such that ${\mathsf E} \phi _ {1} ( X) = {\mathsf E} \phi _ {2} ( Y) = 0$ and ${\mathsf D} \phi _ {1} ( X) = {\mathsf D} \phi _ {2} ( Y) = 1$:

$$\rho ^ {*} ( X , Y ) = \ \sup {\mathsf E} [ \phi _ {1} ( X) \phi _ {2} ( Y) ] .$$

If this least upper bound is attained at $\phi _ {1} = \phi _ {1} ^ {*} ( X)$ and $\phi _ {2} = \phi _ {2} ^ {*} ( Y)$, then the maximal correlation coefficient between $X$ and $Y$ is equal to the correlation coefficient of $\phi _ {1} ^ {*} ( X)$ and $\phi _ {2} ^ {*} ( Y)$. The maximal correlation coefficient has the property: $\rho ^ {*} ( X , Y ) = 0$ is necessary and sufficient for the independence of $X$ and $Y$. If there is a linear correlation between the variables, then the maximal correlation coefficient coincides with the usual correlation coefficient.

References

 [1] O.V. Sarmanov, "The maximum correlation coefficient (symmetric case)" Dokl. Akad. Nauk SSSR , 120 : 4 (1958) pp. 715–718 (In Russian) [2] O.V. Sarmanov, Dokl. Akad. Nauk SSSR , 53 : 9 (1946) pp. 781–784 [3] Yu.V. [Yu.V. Prokhorov] Prohorov, Yu.A. Rozanov, "Probability theory, basic concepts. Limit theorems, random processes" , Springer (1969) (Translated from Russian)

References

 [a1] H. Gebelein, "Das statistische Problem der Korrelation als Variations- und Eigenwertproblem und sein Zusammenhang mit der Ausgleichungrechnung" Z. Angew. Math. Mech. , 21 (1941) pp. 364–379 [a2] R. Koyak, "On measuring internal dependence in a set of random variables" Ann. Statist. , 15 (1987) pp. 1215–1229
How to Cite This Entry:
Maximal correlation coefficient. Encyclopedia of Mathematics. URL: http://encyclopediaofmath.org/index.php?title=Maximal_correlation_coefficient&oldid=47799
This article was adapted from an original article by I.O. Sarmanov (originator), which appeared in Encyclopedia of Mathematics - ISBN 1402006098. See original article