Comment by Ricardo Vieira (ricardo-vieira) on Why the tails come apart · 2018-09-26T14:06:38.121Z · LW · GW

I ran some simulations in Python, and (if I did this correctly), it seems that if r > 0.95, you should expect the most extreme data-point of one variable to be the same in the other variable over 50% of the time (even more if sample size <= 100)

http://nbviewer.jupyter.org/github/ricardoV94/stats/blob/master/correlation_simulations.ipynb