Correlation between poisoon processes

  • Thread starter dsantanu
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  • #1
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Main Question or Discussion Point

How to prove that two poisson processes can never be negatively correlated.
 

Answers and Replies

  • #2
525
5
Use the Frechet bounds and positivity of Poisson random variables.
 
  • #3
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Thanks bpet. But what is a frechet bound?
I have probability/math background.No physics back ground.
 
  • #4
525
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The result is from copula theory. A good survey article is "Copulas: a personal view" by Embrechts which has a result relevant to your conjecture (which you'll find is not quite true).
 
  • #5
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ok.yes it may be false actually.poisson distribution with negative correlation can be constructed.from there to poisson process may not be a big leap.Thanks very much for pointing to the article.
 

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