On some properties of bivariate exponential distributions

Q.M. He, H. Zhang, J.C. Vera

Research output: Contribution to journalArticleScientificpeer-review

Abstract

We show that the two bivariate exponential distributions constructed in Bladt and Nielsen 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.
Original languageEnglish
Pages (from-to)187-206
JournalStochastic Models
Volume28
Issue number2
DOIs
Publication statusPublished - 2012

Fingerprint

Bivariate Exponential Distribution
Correlation coefficient
Majorization
Matrix Representation
Marginal Distribution
Exponential distribution
Generator
Generalise

Cite this

He, Q.M. ; Zhang, H. ; Vera, J.C. / On some properties of bivariate exponential distributions. In: Stochastic Models. 2012 ; Vol. 28, No. 2. pp. 187-206.
@article{78f2dfd316a849fcb001add13d35289a,
title = "On some properties of bivariate exponential distributions",
abstract = "We show that the two bivariate exponential distributions constructed in Bladt and Nielsen 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.",
author = "Q.M. He and H. Zhang and J.C. Vera",
year = "2012",
doi = "10.1080/15326349.2012.672141#preview",
language = "English",
volume = "28",
pages = "187--206",
journal = "Stochastic Models",
issn = "1532-6349",
publisher = "Taylor and Francis Ltd.",
number = "2",

}

On some properties of bivariate exponential distributions. / He, Q.M.; Zhang, H.; Vera, J.C.

In: Stochastic Models, Vol. 28, No. 2, 2012, p. 187-206.

Research output: Contribution to journalArticleScientificpeer-review

TY - JOUR

T1 - On some properties of bivariate exponential distributions

AU - He, Q.M.

AU - Zhang, H.

AU - Vera, J.C.

PY - 2012

Y1 - 2012

N2 - We show that the two bivariate exponential distributions constructed in Bladt and Nielsen 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.

AB - We show that the two bivariate exponential distributions constructed in Bladt and Nielsen 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.

U2 - 10.1080/15326349.2012.672141#preview

DO - 10.1080/15326349.2012.672141#preview

M3 - Article

VL - 28

SP - 187

EP - 206

JO - Stochastic Models

JF - Stochastic Models

SN - 1532-6349

IS - 2

ER -