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Correlation is first order independent of transformation

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Abstract

We show that the correlation between the estimates of two parameters is almost unchanged if they are each transformed in an arbitrary way. To be more specific, the correlation of two estimates is invariant (except for a possible sign change) up to a first order approximation, to smooth transformations of the estimates. There is a sign change if exactly one of the transformations is decreasing in a neighborhood of its parameter. In addition, we approximate the variance, covariance and correlation between functions of sample means and moments.

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Authors and Affiliations

  1. Applied Mathematics Group, Industrial Research Limited, Lower Hutt, New Zealand

    Christopher S. Withers

  2. School of Mathematics, University of Manchester, Manchester, M13 9PL, UK

    Saralees Nadarajah

Authors
  1. Christopher S. Withers
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  2. Saralees Nadarajah
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Correspondence to Saralees Nadarajah.

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Withers, C.S., Nadarajah, S. Correlation is first order independent of transformation. Stat Papers 54, 443–456 (2013). https://doi.org/10.1007/s00362-012-0442-5

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  • DOI: https://doi.org/10.1007/s00362-012-0442-5

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