A Modification of Linfoot's Informational Correlation Coefficient

Georgy Shevlyakov, Nikita Vasilevskiy


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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DOI: http://dx.doi.org/10.17713/ajs.v46i3-4.675


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