Abstract
Bivariate gamma distribution (BGD) can be used in hydrology, stochastic modeling and reliability theory. We derive the Laplace–Stieltjes transform of the distribution of max{Y1,Y2} when a random vector (Y1,Y2) follows Kibble's BGD with integral shape parameter. This is achieved by showing that max{Y1,Y2} has the same distribution as the first passage time of a continuous time Markov process.
Original language | English |
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Pages (from-to) | 392-396 |
Number of pages | 5 |
Journal | Operations Research Letters |
Volume | 45 |
Issue number | 4 |
DOIs | |
Publication status | Published - 2017 Jul 1 |
Keywords
- Downton's bivariate exponential distribution
- First passage time
- Kibble's bivariate gamma distribution
ASJC Scopus subject areas
- Software
- Management Science and Operations Research
- Industrial and Manufacturing Engineering
- Applied Mathematics