On the maximal correlation coefficient for the bivariate Marshall Olkin distribution

Axel Bücher and Torben Staud

Statistics & Probability Letters, 2025, vol. 219, issue C

Abstract: We prove a formula for the maximal correlation coefficient of the bivariate Marshall Olkin distribution that was conjectured in Lin et al., 2016. The formula is applied to obtain a new proof for a variance inequality in extreme value statistics that links the disjoint and the sliding block maxima method.

Keywords: Bivariate exponential distribution; Disjoint and sliding block maxima; Extreme value statistics; Marshall Olkin copula; Maximal correlation coefficient (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1016/j.spl.2024.110323

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