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Title: On some properties of bivariate exponential distributions
Authors: He, Q.-M.
Zhang, H. 
Vera, J.C.
Keywords: Bivariate exponential distribution
Correlation coefficient
Multivariate distribution
Phase-type distribution
Issue Date: 2012
Citation: He, Q.-M., Zhang, H., Vera, J.C. (2012). On some properties of bivariate exponential distributions. Stochastic Models 28 (2) : 187-206. ScholarBank@NUS Repository.
Abstract: We show that the two bivariate exponential distributions constructed in Bladt and Nielsen [5] have the maximum and minimum correlation coefficients for any given order. We also generalize their constructions to the case where the matrix representations of the two (marginal) exponential distributions have different orders and show that the new constructions also have the maximum and minimum correlation coefficients. Our main tool is a majorization result for a special set of PH-generators. Copyright © Taylor & Francis Group, LLC.
Source Title: Stochastic Models
ISSN: 15326349
DOI: 10.1080/15326349.2012.672141
Appears in Collections:Staff Publications

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