On the minimum correlation between symmetrically distributed random variables

Steffen Hoernig

doi:10.1016/j.orl.2018.06.005

On the minimum correlation between symmetrically distributed random variables

Steffen Hoernig

NOVA School of Business and Economics (NOVA SBE)

Research output: Contribution to journal › Article › peer-review

1 Citation (Scopus)

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Abstract

Using linear programming, 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.

Original language	English
Pages (from-to)	469-471
Number of pages	3
Journal	Operations Research Letters
Volume	46
Issue number	4
DOIs	https://doi.org/10.1016/j.orl.2018.06.005
Publication status	Published - 1 Jul 2018

Keywords

Bernoulli random variables
Correlation coefficient
Linear programming

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10.1016/j.orl.2018.06.005

Symcorr_rev2Accepted author manuscript, 109 KBLicence: CC BY-NC-ND

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title = "On the minimum correlation between symmetrically distributed random variables",

abstract = "Using linear programming, 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.",

keywords = "Bernoulli random variables, Correlation coefficient, Linear programming",

author = "Steffen Hoernig",

note = "Funding: FCT - Fundacao para a Cie ncia e Tecnologia, grant nr. UID/ECO/00124/2013 and POR Lisboa, grant nr. LISBOA-01-0145-FEDER-007722 ",

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N1 - Funding: FCT - Fundacao para a Cie ncia e Tecnologia, grant nr. UID/ECO/00124/2013 and POR Lisboa, grant nr. LISBOA-01-0145-FEDER-007722

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Y1 - 2018/7/1

N2 - Using linear programming, 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.

AB - Using linear programming, 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.

KW - Bernoulli random variables

KW - Correlation coefficient

KW - Linear programming

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U2 - 10.1016/j.orl.2018.06.005

DO - 10.1016/j.orl.2018.06.005

M3 - Article

AN - SCOPUS:85049088957

SN - 0167-6377

VL - 46

SP - 469

EP - 471

JO - Operations Research Letters

JF - Operations Research Letters

IS - 4

ER -

On the minimum correlation between symmetrically distributed random variables

Abstract

Keywords

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