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

DOI10.1080/15326341003756486MaRDI QIDQ3579004zbMATH OpenOpenAlexFDO

Authors Mogens Bladt, Bo Friis Nielsen

Publication date 5 August 2010

Published in Stochastic Models (Search for Journal in Brave)

Full work available at URL http://orbit.dtu.dk/ws/files/3088223/tr08_13.pdf

zbMATH Keywords

phase-type distributionbivariate exponential distributionmatrix-exponentialarbitrary correlation

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characteristic functions; other transforms (60E10) Characterization and structure theory of statistical distributions (62E10)

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Cites work

• A Multivariate Exponential Distribution
• A New Class of Multivariate Phase Type Distributions
• A Review on Phase-type Distributions and their Use in Risk Theory
• A duality theorem for the matrix paradigms in queueing theory
• Multivariate matrix-exponential distributions
• On the Time Reversal of Markovian Arrival Processes

Cited in

(17)

• Correlated Bivariate Sequences for Queueing and Reliability Applications
• A class of bivariate exponential distributions
• Correlation structure of the Marshall-Olkin bivariate exponential distribution
• Queues and Risk Processes with Dependencies
• scientific article; zbMATH DE number 4001174 (Why is no real title available?)
• Convolutions of multivariate phase-type distributions
• Bivariate exponential distributions using linear structures
• Improved estimation of the correlation coefficient in a bivariate exponential distribution
• Multivariate matrix Mittag-Leffler distributions
• Applicability of the Nagao-Kadoya bivariate exponential distribution for modeling two correlated exponentially distributed variates
• Infinite-server queues with batch arrivals and dependent service times
• A bivariate exponential distribution admitting both positive and negative correlations
• On two families of bivariate distributions with exponential marginals: aggregation and capital allocation
• Bivariate Distributions With Exponential Conditionals
• Workload analysis of a two-queue fluid polling model
• Parisian types of ruin probabilities for a class of dependent risk-reserve processes
• On some properties of bivariate exponential distributions

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