Abstract.
The open literature reveals several types of bivariate exponential distributions. Of them only the Nagao–Kadoya distribution (Nagao and Kadoya, 1970, 1971) has a general form with marginals that are standard exponential distributions and the correlation coefficient being 0≤ρ<1. On the basis of the principle that if a theoretical probability distribution can represent statistical properties of sample data, then the computed probabilities from the theoretical model should provide a good fit to observed ones, numerical experiments are executed to investigate the applicability of the Nagao–Kadoya bivariate exponential distribution for modeling the joint distribution of two correlated random variables with exponential marginals. Results indicate that this model is suitable for analyzing the joint distribution of two exponentially distributed variables. The procedure for the use of this model to represent the joint statistical properties of two correlated exponentially distributed variables is also presented.
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Yue, S. Applicability of the Nagao–Kadoya bivariate exponential distribution for modeling two correlated exponentially distributed variates. Stochastic Environmental Research and Risk Assessment 15, 244–260 (2001). https://doi.org/10.1007/s004770100069
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DOI: https://doi.org/10.1007/s004770100069