English

Multivariate distributions with fixed marginals and correlations

Probability 2016-12-30 v2 Computation

Abstract

Consider the problem of drawing random variates (X1,,Xn)(X_1,\ldots,X_n) from a distribution where the marginal of each XiX_i is specified, as well as the correlation between every pair XiX_i and XjX_j. For given marginals, the Fr\'echet-Hoeffding bounds put a lower and upper bound on the correlation between XiX_i and XjX_j. Any achievable correlation between XiX_i and XjX_j is a convex combinations of these bounds. The value λ(Xi,Xj)[0,1]\lambda(X_i,X_j) \in [0,1] of this convex combination is called here the convexity parameter of (Xi,Xj),(X_i,X_j), with λ(Xi,Xj)=1\lambda(X_i,X_j) = 1 corresponding to the upper bound and maximal correlation. For given marginal distributions functions F1,,FnF_1,\ldots,F_n of (X1,,Xn)(X_1,\ldots,X_n) we show that λ(Xi,Xj)=λij\lambda(X_i,X_j) = \lambda_{ij} if and only if there exist symmetric Bernoulli random variables (B1,,Bn)(B_1,\ldots,B_n) (that is {0,1}\{0,1\} random variables with mean 1/2) such that λ(Bi,Bj)=λij\lambda(B_i,B_j) = \lambda_{ij}. In addition, we characterize completely the set of convexity parameters for symmetric Bernoulli marginals in two, three and four dimensions.

Keywords

Cite

@article{arxiv.1311.2002,
  title  = {Multivariate distributions with fixed marginals and correlations},
  author = {Mark Huber and Nevena Maric},
  journal= {arXiv preprint arXiv:1311.2002},
  year   = {2016}
}

Comments

Compared to the journal version, here Lemma 4 and Theorem 3, for case n=4, are slightly corrected

R2 v1 2026-06-22T02:03:50.973Z