TY - JOUR
TI - On the Construction of Bivariate Exponential Distributions with an Arbitrary Correlation Coefficient
LA - eng
AU - Bladt, Mogens
AU - Nielsen, Bo Friis
JF - Stochastic Models
VL - 26
IS - 2
SP - 295
EP - 308
PY - 2010
SN - 15324214, 15326349
AB - 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.
DO - 10.1080/15326341003756486
ER -