On the maximal correlation coefficient for the bivariate Marshall Olkin distribution
Published in Statistics & Probability Letters, 2024
Recommended citation: Bücher, A., Staud, T. (2025). "On the maximal correlation coefficient for the bivariate Marshall Olkin distribution" Statistics and Probability Letters, Vol. 219, 110323.
We prove a formula for the maximal correlation coefficient of the bivariate Marshall Olkin distribution that was conjectured in Lin, Lai, and Govindaraju (2016, Stat. Methodol., 29:1–9). The formula is applied to obtain a new proof for a variance inequality in extreme value statistics that links the disjoint and the sliding block maxima method.