Hi, Let f(rho) = E[F_1(x) F_2(y)], i.e f(rho) is the expectation of F(x) * F(y) with respect to the bivariate Gaussian density with mean 0 and covariance matrix [1 rho; rho 1]. Moreover, assume F_1(x) and F_2(y) to be increasing functions of x and y respectively.
I was wondering if it was true that f(rho) is an increasing function of rho. If so, are there any references? Best, Agos ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
