A Modification of Linfoot's Informational Correlation Coefficient

Authors

  • Georgy Shevlyakov Peter the Great St.Petersburg Polytechnic
  • Nikita Vasilevskiy Itivity Group AB

DOI:

https://doi.org/10.17713/ajs.v46i3-4.675

Abstract

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.

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Published

2017-04-12

How to Cite

Shevlyakov, G., & Vasilevskiy, N. (2017). A Modification of Linfoot’s Informational Correlation Coefficient. Austrian Journal of Statistics, 46(3-4), 99–105. https://doi.org/10.17713/ajs.v46i3-4.675