A Modification of Linfoot's Informational Correlation Coefficient

Performance of the Linfoot's informational correlation coefficient is experimentally studied at the bivariate normal distribution. It is satisfactory in the case of a strong correlation and on large samples. To reduce the bias of estimation, a symmetric version of this correlation measure is pr...

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Bibliographic Details
Main Authors: Georgy Shevlyakov, Nikita Vasilevskiy
Format: Article
Language:English
Published: Austrian Statistical Society 2017-04-01
Series:Austrian Journal of Statistics
Online Access:http://www.ajs.or.at/index.php/ajs/article/view/675
Description
Summary:Performance of the Linfoot's informational correlation coefficient is experimentally studied at the bivariate normal distribution. It is satisfactory in the case of a strong correlation and on large samples. To reduce the bias of estimation, a symmetric version of this correlation measure is proposed. On small and large samples, this modified informational correlation coefficient outperforms Linfoot's correlation measure at the bivariate normal distribution in the wide range of the correlation coefficient.
ISSN:1026-597X