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Feasible correlation range for a third pair

Question

For three random variables XX, YY, ZZ we know ρYZ=1213\rho_{YZ}=\tfrac{12}{13} and ρXY=513\rho_{XY}=\tfrac{5}{13}, where ρ\rho denotes correlation. The set of values ρXZ\rho_{XZ} can take turns out to be an interval [0,b][0,b]. Find bb as a reduced fraction.

Short answer

b=120/169b=120/169. Any correlation matrix must be positive semi-definite. With ρ=Corr⁡(X,Z)\rho=\operatorname{Corr}(X,Z) the 3×33\times3 determinant equals 120169ρ−ρ2\tfrac{120}{169}\rho-\rho^2, which is non-negative exactly for 0≤ρ≤1201690\le\rho\le\tfrac{120}{169} (the leading 2×22\times2 minor is already positive).

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