We study a class of Borel probability measures, called correlation measures. Our results are of two types: first, we give explicit constructions of non-trivial correlation measures; second, we examine some of the properties of the set of correlation measures. In particular, we show that this set of measures has a convexity property. Our work is related to the so-called Gaussian correlation conjecture.
"Correlation Measures." Electron. Commun. Probab. 4 77 - 85, 1999. https://doi.org/10.1214/ECP.v4-1008