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On the maximal correlation coefficient for the bivariate Marshall Olkin distribution

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  • Bücher, Axel
  • Staud, Torben

Abstract

We prove a formula for the maximal correlation coefficient of the bivariate Marshall Olkin distribution that was conjectured in Lin et al., 2016. The formula is applied to obtain a new proof for a variance inequality in extreme value statistics that links the disjoint and the sliding block maxima method.

Suggested Citation

  • Bücher, Axel & Staud, Torben, 2025. "On the maximal correlation coefficient for the bivariate Marshall Olkin distribution," Statistics & Probability Letters, Elsevier, vol. 219(C).
    • Handle: RePEc:eee:stapro:v:219:y:2025:i:c:s016771522400292x
    DOI: 10.1016/j.spl.2024.110323
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    References listed on IDEAS

    as
    1. Lo, Ambrose, 2017. "Functional generalizations of Hoeffding’s covariance lemma and a formula for Kendall’s tau," Statistics & Probability Letters, Elsevier, vol. 122(C), pages 218-226.
    2. Yu, Yaming, 2008. "On the maximal correlation coefficient," Statistics & Probability Letters, Elsevier, vol. 78(9), pages 1072-1075, July.
    3. Bucher, Axel & Segers, Johan, 2018. "Inference for heavy tailed stationary time series based on sliding blocks," LIDAM Reprints ISBA 2018007, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
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