Correlation Structure in Iterated Farlie-Gumbel-Morgenstern Distributions.

Abstract

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)

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Document Details

Document Type
Technical Report
Publication Date
Jan 01, 1984
Accession Number
ADA137055

Entities

People

  • J. S. Huang
  • Samuel Kotz

Organizations

  • University of Maryland

Tags

Communities of Interest

  • C4I

DTIC Thesaurus Topics

  • Computing-Related Activities
  • Contracts
  • Covariance
  • Data Science
  • Distribution Functions
  • Information Science
  • Interdisciplinary Science
  • Iterations
  • Mathematical Analysis
  • Mathematics
  • Military Research
  • Order Statistics
  • Real Numbers
  • Statistical Analysis
  • Statistics
  • Universities

Readers

  • Mathematics or Statistics
  • Statistical inference.

Technology Areas

  • Space