On the maximal correlation coefficient for the bivariate Marshall Olkin distribution

2024/09/13 by Axel Bücher, Bücher, Axel, Torben Staud +1 · 1 citation
Computer Science · Decision Sciences · Mathematics · #Bayesian Methods and Mixture Models #FOS: Mathematics #Probability and Risk Models #Statistical Distribution Estimation and Applications #Statistics Theory (math.ST)

paper · pdf · doi:10.48550/arxiv.2409.08661

openalex publication_date 2024/09/13 · openalex created_date 2024/10/24 · openalex updated_date 2026/07/28

Abstract

We prove a formula for the maximal correlation coefficient of the bivariate Marshall Olkin distribution that was conjectured in Lin, Lai, and Govindaraju (2016, Stat. Methodol., 29:1-9). 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.

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