On the construction of bivariate exponential distributions with an arbitrary correlation coefficient

Mogens Bladt, Bo Friis Nielsen

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    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.
    Original languageEnglish
    Place of PublicationKgs. Lyngby
    PublisherTechnical University of Denmark, DTU Informatics, Building 321
    Publication statusPublished - 2008
    SeriesD T U Compute. Technical Report
    Number2008-13
    ISSN1601-2321

    Cite this

    Bladt, M., & Nielsen, B. F. (2008). On the construction of bivariate exponential distributions with an arbitrary correlation coefficient. Technical University of Denmark, DTU Informatics, Building 321. D T U Compute. Technical Report, No. 2008-13