-
Views
-
Cite
Cite
J. S. HUANG, SAMUEL KOTZ, Correlation structure in iterated Farlie-Gumbel-Morgenstern distributions, Biometrika, Volume 71, Issue 3, December 1984, Pages 633–636, https://doi.org/10.1093/biomet/71.3.633
- Share Icon Share
Abstract
SUMMARY
In this note we determine the natural parameter space of the iterated Farlie-Gumbel-Morgenstern distribution, and thereby show that the maximum correlation is higher than was previously known. We also show that just one single iteration can result in tripling the covariance for certain marginals. Finally, we show that there exist no marginals for which the single iteration will bring about higher negative correlation.
This content is only available as a PDF.
© 1984 Biometrika Trust
Issue Section:
Miscellanea
You do not currently have access to this article.