Correlation between poisoon processes

[dsantanu]

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

 

[bpet]

Use the Frechet bounds and positivity of Poisson random variables.

 

[dsantanu]

Thanks bpet. But what is a frechet bound?
I have probability/math background.No physics back ground.

 

[bpet]

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).

 

[dsantanu]

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.