A class of bivariate exponential distributions
We introduce a class of absolutely continuous bivariate exponential distributions, generated from quadratic forms of standard multivariate normal variates. This class is quite flexible and tractable, since it is regulated by two parameters only, derived from the matrices of the quadratic forms: the correlation and the correlation of the squares of marginal components. A simple representation of the whole class is given in terms of 4-dimensional matrices. Integral forms allow evaluating the distribution function and the density function in most of the cases. The class is introduced as a subclass of bivariate distributions with chi-square marginals; bounds for the dimension of the generating normal variable are underlined in the general case. Finally, we sketch the extension to the multivariate case.
Year of publication: |
2009
|
---|---|
Authors: | Regoli, Giuliana |
Published in: |
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 100.2009, 6, p. 1261-1269
|
Publisher: |
Elsevier |
Keywords: | 62E15 60E05 Bivariate exponential distributions Bivariate chi-square distributions Correlated quadratic forms |
Saved in:
Saved in favorites
Similar items by person
-
Some properties of skew-symmetric distributions
Azzalini, Adelchi, (2012)
-
On the Poisson-binomial relative error
Antonelli, Sabrina, (2005)
-
Asymptotic distribution of density ratios
Antonelli, Sabrina, (2009)
- More ...