Journal article
On the Construction of Bivariate Exponential Distributions with an Arbitrary Correlation Coefficient
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.
Language: | English |
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Publisher: | Informa UK Limited |
Year: | 2010 |
Pages: | 295-308 |
ISSN: | 15324214 and 15326349 |
Types: | Journal article |
DOI: | 10.1080/15326341003756486 |
ORCIDs: | Nielsen, Bo Friis |