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On the minimum correlation between symmetrically distributed random variables

Author

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  • Steffen Hoernig

Abstract

We show that families of symmetrically distributed Bernoulli random variables have a maximal negative correlation that almost always is strictly above the general lower limit.

Suggested Citation

  • Steffen Hoernig, 2018. "On the minimum correlation between symmetrically distributed random variables," Nova SBE Working Paper Series wp626, Universidade Nova de Lisboa, Nova School of Business and Economics.
    • Handle: RePEc:unl:unlfep:wp626
    as

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    File URL: https://run.unl.pt/bitstream/10362/82727/1/WP626.pdf
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    References listed on IDEAS

    as
    1. Xavier Vives, 2011. "Strategic Supply Function Competition With Private Information," Econometrica, Econometric Society, vol. 79(6), pages 1919-1966, November.
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    More about this item

    Keywords

    Bernoulli random variables; correlation coefficient;

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis

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