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Correlation between poisoon processes

  1. Sep 17, 2012 #1
    How to prove that two poisson processes can never be negatively correlated.
  2. jcsd
  3. Sep 18, 2012 #2
    Use the Frechet bounds and positivity of Poisson random variables.
  4. Sep 18, 2012 #3
    Thanks bpet. But what is a frechet bound?
    I have probability/math background.No physics back ground.
  5. Sep 21, 2012 #4
    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).
  6. Sep 21, 2012 #5
    Re: correlation between poisson processes

    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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