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

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  • Lin, G.D.
  • Huang, J.S.

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.

Suggested Citation

  • Lin, G.D. & Huang, J.S., 2010. "A note on the maximum correlation for Baker's bivariate distributions with fixed marginals," Journal of Multivariate Analysis, Elsevier, vol. 101(9), pages 2227-2233, October.
    • Handle: RePEc:eee:jmvana:v:101:y:2010:i:9:p:2227-2233
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    References listed on IDEAS

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    1. Baker, Rose, 2008. "An order-statistics-based method for constructing multivariate distributions with fixed marginals," Journal of Multivariate Analysis, Elsevier, vol. 99(10), pages 2312-2327, November.
    2. Matthias Fischer & Ingo Klein, 2007. "Constructing Generalized FGM Copulas by Means of Certain Univariate Distributions," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 65(2), pages 243-260, February.
    3. Lai, C. D. & Xie, M., 2000. "A new family of positive quadrant dependent bivariate distributions," Statistics & Probability Letters, Elsevier, vol. 46(4), pages 359-364, February.
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    Cited by:

    1. Bairamov, I. & Bayramoglu, K., 2013. "From the Huang–Kotz FGM distribution to Baker’s bivariate distribution," Journal of Multivariate Analysis, Elsevier, vol. 113(C), pages 106-115.
    2. Guo, Nan & Wang, Fang & Yang, Jingping, 2017. "Remarks on composite Bernstein copula and its application to credit risk analysis," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 38-48.
    3. Dou, Xiaoling & Kuriki, Satoshi & Lin, Gwo Dong & Richards, Donald, 2016. "EM algorithms for estimating the Bernstein copula," Computational Statistics & Data Analysis, Elsevier, vol. 93(C), pages 228-245.
    4. Huang, J.S. & Dou, Xiaoling & Kuriki, Satoshi & Lin, G.D., 2013. "Dependence structure of bivariate order statistics with applications to Bayramoglu’s distributions," Journal of Multivariate Analysis, Elsevier, vol. 114(C), pages 201-208.

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