The Asymptotic Distribution of the Renyi Maximal Correlation
Renyi (1959) defined the maximal correlation ρ between a pair of random variables (U, W) as where the supremum is taken over all functions of U and W with finite second moments. In this paper we derive the asymptotic distribution of the estimate of the Rbnyi correlation coefficient based on a sample of independent observations under the assumption that (U, W) are independent and assume only a finite number of values.