On the Construction of Bivariate Exponential Distributions with an Arbitrary Correlation Coefficient

Mogens Bladt, Bo Friis Nielsen

    Research output: Contribution to journalJournal articleResearchpeer-review

    Abstract

    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.
    Original languageEnglish
    JournalStochastic Models
    Volume26
    Issue number2
    Pages (from-to)295-308
    ISSN1532-6349
    DOIs
    Publication statusPublished - 2010

    Keywords

    • Arbitrary correlation
    • Bivariate exponential distribution
    • Matrix-exponential
    • Phase-type distribution

    Fingerprint Dive into the research topics of 'On the Construction of Bivariate Exponential Distributions with an Arbitrary Correlation Coefficient'. Together they form a unique fingerprint.

    Cite this