A note on the maximum correlation for Baker's bivariate distributions with fixed marginals

We investigate Baker's bivariate distributions with fixed marginals which are based on order statistics, and find conditions under which the correlation converges to the maximum for Fréchet-Hoeffding upper bound as the sample size tends to infinity. The convergence rate of the correlation is also investigated for some specific cases.

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Year of publication:	2010
Authors:	Lin, G.D. ; Huang, J.S.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 101.2010, 9, p. 2227-2233
Publisher:	Elsevier
Keywords:	Maximum correlation FGM distribution Baker's bivariate distribution Order statistics Frechet-Hoeffding upper and lower bounds Chebyshev's inequality for integrals

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008861594