Minimum correlation for any bivariate geometric distribution

MaRDI QIDQ2921125zbMATH OpenFDO

Authors Mark Huber, Nevena Marić

Publication date 30 September 2014

Published in ALEA. Latin American Journal of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1406.1779, http://alea.impa.br/articles/v11/11-20.pdf

zbMATH Keywords

geometric distributionminimum correlation

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Measures of association (correlation, canonical correlation, etc.) (62H20)

Abstract: Consider a bivariate Geometric random variable where the first component has parameter $p_1$ and the second parameter $p_2$. It is not possible to make the correlation between the marginals equal to -1. Here the properties of this minimum correlation are studied both numerically and analytically. It is shown that the minimum correlation can be computed exactly in time $O(p_1^{-1}ln(p_2^{-1})+p_2^{-1}ln(p_1^{-1}))$. The minimum correlation is shown to be nonmonotonic in $p_1$ and $p_2$, moreover, the partial derivatives are not continuous. For $p_1=p_2$, these discontinuities are characterized completely and shown to lie near (1- roots of 1/2). In addition, we construct analytical bounds on the minimum correlation.

Review text

The aim of this paper is to investigate the minimum attainable correlation between two geometric random variables. It is shown that \(\min\{\text{corr}(x_1,x_2):x_1\sim\text{Geo}\,p_1, x_2\sim\text{Geo}\, p_2\}=\rho_-(p_1,p_2)\) can be computed exactly in time O\((p^{-1}_1\ln p^{-1}_2+p_2\ln p^{-1}_1)\). The minimum correlation is shown to be nonmonotonic in \(p_1\) and \(p_2\) and the partial derivarives are not continuous. Moreover, the points where the discontinuities occur are near to (1-roots of 1/2). Finally, the authors construct analytic bounds on the minimum correlation.

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Cited in

(4)

• On a minimum correlation problem.
• On the minimum of independent geometrically distributed random variables
• Properties and estimation of a bivariate geometric model with locally constant failure rates
• A bivariate geometric distribution allowing for positive or negative correlation

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