Estimating a correlation coefficient when one variable is not directly observed

Lawrence S. Mayer

Research output: Contribution to journalArticle

6 Scopus citations

Abstract

The problem is to estimate p the true correlation between two variables x and y when y and u=f(x) (but not x) are measured where f is a monotone function. The monotone correlation coefficient between y and u is defined and shown to be a (strongly) consistent estimator of p. For large samples approximate lower and upper bounds on the sample correlation between x and y are presented. Finally, an application of these results is displayed.

Original languageEnglish (US)
Pages (from-to)420-421
Number of pages2
JournalJournal of the American Statistical Association
Volume68
Issue number342
DOIs
Publication statusPublished - 1973
Externally publishedYes

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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