[R] bivariate normal cdf and rho
Jun Yan
jyan at stat.wisc.edu
Wed May 1 16:51:14 CEST 2002
Suppose F(x, y; rho) is the cdf of a bivariate normal distribution, with
standardized marginals and correlation parameter rho. For any fixed x and
y, I wonder if F(x, y; rho) is a monotone increasing function of rho,
i.e., there is a 1 to 1 map from rho to F(x, y; rho).
I explored it using the function pmvnorm in package mvtnorm with
different x and y. The plot suggests the statement may be true. But I can
not prove it analytically after a few days thinking.
I would appreciate if people on the list can point me to the
references.
Jun
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