A consistent local linear estimator of the covariate adjusted correlation coefficient

Danh V. Nguyen, Damla Şentürk

Research output: Contribution to journalArticle

Abstract

Consider the correlation between two random variables (X, Y), both not directly observed. One only observes over(X, ̃) = φ{symbol}1 (U) X + φ{symbol}2 (U) and over(Y, ̃) = ψ1 (U) Y + ψ2 (U), where all four functions {φ{symbol}l ({dot operator}), ψl ({dot operator}), l = 1, 2} are unknown/unspecified smooth functions of an observable covariate U. We consider consistent estimation of the correlation between the unobserved variables X and Y, adjusted for the above general dual additive and multiplicative effects of U, based on the observed data (over(X, ̃), over(Y, ̃), U).

Original languageEnglish (US)
Pages (from-to)1684-1689
Number of pages6
JournalStatistics and Probability Letters
Volume79
Issue number15
DOIs
StatePublished - Aug 1 2009

ASJC Scopus subject areas

  • Statistics, Probability and Uncertainty
  • Statistics and Probability

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