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The Sarmanov family and its generalization. (English) Zbl 1009.62011

Summary: A general class of bivariate distributions is introduced. This class includes the so-called Sarmanov-Lee class (and consequently the Farlie-Gumbel-Morgenstem class). It is shown that using procedures described in the paper it is possible to construct distributions of the FGM form for which the correlation coefficient between the marginals can achieve values close to \(\pm 0.6\).

MSC:

62E10 Characterization and structure theory of statistical distributions
62H05 Characterization and structure theory for multivariate probability distributions; copulas