The correlation ratio under diagonal localization #
theorem
Verification.conditionalBlocks_correlationRatio
(C D : ProbabilityTheory.Copula 2)
(a : ↑unitInterval)
(ha0 : 0 < a)
(ha1 : a < 1)
:
correlationRatio (conditionalBlocks C D a ha0 ha1) = 1 - ↑a ^ 3 * (1 - correlationRatio C) - (1 - ↑a) ^ 3 * (1 - correlationRatio D)