A Bivariate Distribution Family with Specified Marginals

Abstract

Abstract A systematic approach is given for constructing continuous bivariate distributions with specified marginals and ixed dependence measures. This approach is based on linear combinations of independent random variables and results in bivariate distributions that can attain the Fréchet bounds. The dependence measures considered are Spearman's rho and Kendall's tau. Applications to testing for sensitivity in simulation models are discussed.