A Versatile Bivariate Distribution on a Bounded Domain: Another Look at the Product Moment Correlation
نویسنده
چکیده
Abstract The Fairlie-Gumbel-Morgenstern (FGM) family has been investigated in detail for various continuous marginals such as Cauchy, normal, exponential, gamma, Weibull, lognormal and others. It has been a popular model for the bivariate distribution with mild dependence. However, bivariate FGM’s with continuous marginals on a bounded support discussed in the literature are only those with uniform or power marginals. In this note we study the bivariate FGM family with marginals given by the recently proposed two-sided power (TSP) distribution. Since this family of bounded continuous distributions is very flexible, the properties of the FGM family with TSP marginals could serve a reliable indication of the structure of the FGM distribution with arbitrary marginals defined on a compact set. A remarkable stability of the correlation between the marginals has been observed.
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