Bladt, Mogens

Nielsen, Bo Friis

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

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

http://orbit.dtu.dk/ws/files/3088223/tr08_13.pdf

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

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Online Research Database In Technology