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INFORMATION LOSS WHEN ρ IS APPLIED IN NON-NORMAL CASES |
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| Authors: | Stig Fhanér |
| Institution: | Department of Psychology, University of Uppsala, Sweden |
| Abstract: | The correlation coefficient ρ of two stochastic variables underestimates the dependence between the variables, if they are not bivariately normally distributed. An information theoretical approach to the study of this underestimation is suggested. The method is applied on artificial data. |
| Keywords: | |