Bivariate distributions with given marginals and fixed measures of dependence
Two systematic approaches are given for constructing continuous bivariate distributions with specified marginals and fixed dependence measures. Both approaches are based on linear combinations of independent random variables and result in bivariate distributions which can attain the Frechet bounds. The dependence measures considered are the grade correlation coefficient and Kendall's tau. The joint distributions obtained are compared to those of earlier authors. Applications to testing for sensitivity in simulation models are discussed. 8 tables.
- Research Organization:
- Los Alamos National Lab. (LANL), Los Alamos, NM (United States)
- DOE Contract Number:
- W-7405-ENG-36
- OSTI ID:
- 6226743
- Report Number(s):
- LA-7700-MS
- Resource Relation:
- Other Information: P
- Country of Publication:
- United States
- Language:
- English
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