On the minimum correlation between symmetrically distributed random variables

Research output: Contribution to journalArticle

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 languageEnglish
Pages (from-to)469-471
Number of pages3
JournalOperations Research Letters
Volume46
Issue number4
DOIs
Publication statusPublished - 1 Jul 2018

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Bernoulli Random Variables
Random variables
Linear programming
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Random variable
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Keywords

  • Bernoulli random variables
  • Correlation coefficient
  • Linear programming

Cite this

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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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publisher = "Elsevier Science B.V., Inc",
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}

On the minimum correlation between symmetrically distributed random variables. / Hoernig, Steffen.

In: Operations Research Letters, Vol. 46, No. 4, 01.07.2018, p. 469-471.

Research output: Contribution to journalArticle

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T1 - On the minimum correlation between symmetrically distributed random variables

AU - Hoernig, Steffen

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

PY - 2018/7/1

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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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M3 - Article

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JO - Operations Research Letters

JF - Operations Research Letters

SN - 0167-6377

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