On the Construction of Bivariate Exponential Distributions with an Arbitrary Correlation Coefficient

DOI10.1080/15326341003756486zbMath1197.60005OpenAlexW2046093488MaRDI QIDQ3579004

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

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

Related Items (8)

On Some Properties of Bivariate Exponential Distributions ⋮ INFINITE-SERVER QUEUES WITH BATCH ARRIVALS AND DEPENDENT SERVICE TIMES ⋮ Queues and Risk Processes with Dependencies ⋮ Parisian types of ruin probabilities for a class of dependent risk-reserve processes ⋮ Workload analysis of a two-queue fluid polling model ⋮ On two families of bivariate distributions with exponential marginals: aggregation and capital allocation ⋮ Convolutions of multivariate phase-type distributions ⋮ Multivariate matrix Mittag-Leffler distributions

Cites Work

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

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