ON THE RANGE OF CORRELATION COEFFICIENTS OF BIVARIATE ORDERED DISCRETE RANDOM VARIABLES

Lung-Fei Lee

Econometric Theory, 2001, vol. 17, issue 1, 247-256

Abstract: The range of correlation coefficient of any bivariate discrete random vector with finite or countably infinite values is derived. We show analytically that the normal-transformed discrete bivariate probability system of Van Ophem (1999, Econometric Theory 15, 228–237) has a flexible correlation coefficient. We establish the strictly monotonic relation of its correlation coefficient with the bivariate normal correlation-coefficient parameter in the system.

Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:17:y:2001:i:01:p:247-256_17

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