@article{bladt2010a,
title = {On the Construction of Bivariate Exponential Distributions with an Arbitrary Correlation Coefficient},
language = {eng},
author = {Bladt, Mogens and Nielsen, Bo Friis},
journal = {Stochastic Models},
volume = {26},
number = {2},
pages = {295-308},
year = {2010},
issn = {15324214, 15326349},
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.},
doi = {10.1080/15326341003756486}
}