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arXiv · 2409.08661

On the maximal correlation coefficient for the bivariate Marshall Olkin distribution

Axel Bücher·Torben Staud
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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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Axel Bücher, Torben Staud. 2024-09-13. On the maximal correlation coefficient for the bivariate Marshall Olkin distribution. https://arxiv.org/abs/2409.08661

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