On 16/06/17 15:53, Sunny Singha wrote:
Hi,
I need to generate correlated (positive as well as negative) bivariate
exponential
distribution with rate of 1/5 or any rate.
I need some guidance here. Please help.
I believe this question is ill-posed.
(1) My understanding is that there is no "bivariate exponential"
distribution, or rather that there are many possible definitions.
(Others, younger and wiser, may correct me or elaborate on this.)
(2) If your requirement is simply to obtain a bivariate distribution
with exponential marginals and a given correlation between the
variables, I believe there are a variety of ways. One way might be to
use copulas. Another might be to use "coupling" (see Muirhead, "Aspects
of Multivariate Statistical Theory", Wiley, p. 43, Ex. 1.7).
Some googling (why didn't you do that?) led me to
http://r.789695.n4.nabble.com/How-to-generate-bivariate-exponential-distribution-td3596944.html
in which Petr Savicky gives a simple construction.
cheers,
Rolf Turner
--
Technical Editor ANZJS
Department of Statistics
University of Auckland
Phone: +64-9-373-7599 ext. 88276
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