Correlation Structure in Iterated Farlie-Gumbel-Morgenstern Distributions.
MARYLAND UNIV COLLEGE PARK DEPT OF MANAGEMENT SCIENCES AND STATISTICS
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In this note the authors determine the natural parameter space of the iterated FGM distribution, and thereby show that the maximum correlation is higher than what was previously known. They also show that one single iteration can result in tripling the covariance for certain marginals and that there exist no marginals for which the single iteration will bring about higher negative correlation. Author
- Statistics and Probability