Title: Towards a Localized Version of Pearson's Correlation Coefficient
Abstract:Pearson’s correlation coefficient is used to describe dependence between random variables X and Y . In some practical situations, however, we have strong correlation for some values X and/or Y and no ...Pearson’s correlation coefficient is used to describe dependence between random variables X and Y . In some practical situations, however, we have strong correlation for some values X and/or Y and no correlation for other values ofX and Y . To describe such a local dependence, we come up with a natural localized version of Pearson’s correlation coefficient. We also study the properties of the newly defined localized coefficient. 1 Formulation of the Problem Pearson’s correlation coefficient: reminder. To describe relation between two random variables X and Y , Pearson’s correlation coefficient r is often used. This coefficient is defined as r[X,Y ] def = C[X,Y ] σ[X] · σ(Y ) , (1)Read More
Publication Year: 2013
Publication Date: 2013-09-01
Language: en
Type: article
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Cited By Count: 3
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