On the Construction of Bivariate Exponential Distributions with an Arbitrary Correlation Coefficient
Publication: Research - peer-review › Journal article – Annual report year: 2010
In this article we use the concept of multivariate phase-type distributions to define a class of bivariate exponential distributions. This class has the following three appealing properties. Firstly, we may construct a pair of exponentially distributed random variables with any feasible correlation coefficient (also negative). Secondly, the class satisfies that any linear combination (projection) of the marginal random variables is a phase-type distribution. The latter property is partially important for the development of hypothesis testing in linear models. Finally, it is easy to simulate the exponential random vectors.
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- Arbitrary correlation, Bivariate exponential distribution, Matrix-exponential, Phase-type distribution