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).

Saved in:
Bibliographic Details
Published in:Statistics & probability letters 2021-02, Vol.169, p.108960, Article 108960
Main Authors: Edelmann, Dominic, Móri, Tamás F., Székely, Gábor J.
Format: Article
Language:English
Subjects:
Distance correlation
Distance covariance
Mixture distribution
Pearson correlation
Rademacher distribution
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary: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