Correlation Measures

Thomas M. Lewis (Furman University)
Geoffrey Pritchard (University of Auckland)

Abstract


We study a class of Borel probability measures, called correlation measures. Our results are of two types: first, we give explicit constructions of non-trivial correlation measures; second, we examine some of the properties of the set of correlation measures. In particular, we show that this set of measures has a convexity property. Our work is related to the so-called Gaussian correlation conjecture.

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Pages: 77--85

Publication Date: October 1, 1999

DOI: 10.1214/ECP.v4-1008

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