Article2004

On Maximum Attainable Correlation and Other Measures of Dependence for the Sarmanov Family of Bivariate Distributions

37 citations0/0 files storedCommunication in Statistics- Theory and Methods

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Financial Risk and Volatility Modeling Probability and Statistical Research Statistical Distribution Estimation and Applications

Abstract

We present an easy tractable way to calculate maximal correlation range for a Sarmanov distribution with given marginals. For Kendall's τ, rank correlation and median concordance coefficients, we found maximum attainable ranges within the Sarmanov family of distributions.

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