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

G.D. Lin and J.S. Huang

Journal of Multivariate Analysis, 2010, vol. 101, issue 9, 2227-2233

Abstract: 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.

Keywords: Maximum; correlation; FGM; distribution; Baker's; bivariate; distribution; Order; statistics; Frechet-Hoeffding; upper; and; lower; bounds; Chebyshev's; inequality; for; integrals (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (4)

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