A new measure of association between random variables

Abstract

We propose a new measure of association between two continuous random variables X and Y based on the covariance between X and the log-odds rate associated to Y. The proposed index of correlation lies in the range [- 1 , 1]. We show that the extremes of the range, i.e., - 1 and 1, are attainable by the Fre ´ chet bivariate minimal and maximal distributions, respectively. It is also shown that if X and Y have bivariate normal distribution, the resulting measure of correlation equals the Pearson correlation coefficient ρ. Some interpretations and relationships to other variability measures are presented. Among others, it is shown that for non-negative random variables the proposed association measure can be represented in terms of the mean residual and mean inactivity functions. Some illustrative examples are also provided. © 2017, Springer-Verlag GmbH Germany.