Accession Number : ADA137055

Title :   Correlation Structure in Iterated Farlie-Gumbel-Morgenstern Distributions.

Descriptive Note : Technical rept.,

Corporate Author : MARYLAND UNIV COLLEGE PARK DEPT OF MANAGEMENT SCIENCES AND STATISTICS

Personal Author(s) : Huang,J S ; Kotz,Samuel

PDF Url : ADA137055

Report Date : Jan 1984

Pagination or Media Count : 15

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)

Descriptors :   *Correlation, *Iterations, *Distribution functions, Covariance, Parameters, Bivariate analysis

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE