关于二元有序离散随机变量相关系数的取值范围

ON THE RANGE OF CORRELATION COEFFICIENTS OF BIVARIATE ORDERED DISCRETE RANDOM VARIABLES

Econometric Theory · 2001
被引 10
人大 A-ABS 4

中文导读

推导了有限或可数无限取值二元离散随机向量相关系数的取值范围,并证明Van Ophem(1999)提出的正态变换离散二元概率系统的相关系数具有灵活性,且与二元正态相关系数参数呈严格单调关系。

Abstract

The range of correlation coefficient of any bivariate discrete random vector with finite or countably infinite values is derived. We show analytically that the normal-transformed discrete bivariate probability system of Van Ophem (1999, Econometric Theory 15, 228–237) has a flexible correlation coefficient. We establish the strictly monotonic relation of its correlation coefficient with the bivariate normal correlation-coefficient parameter in the system.

二元有序离散随机变量相关系数范围正态变换离散双变量概率系统单调关系