@book{bdec4b6c947143b98d9f1720e03a4639,

title = "On the construction of bivariate exponential distributions with an arbitrary correlation coefficient",

abstract = "In this paper we use a 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 distributions, The latter property is potentially important for the development hypothesis testing in linear models. Thirdly, it is very easy to simulate the exponential random vectors.",

author = "Mogens Bladt and Nielsen, {Bo Friis}",

year = "2008",

language = "English",

series = "D T U Compute. Technical Report",

publisher = "Technical University of Denmark, DTU Informatics, Building 321",

number = "2008-13",

}