The maximum distribution of Kibble's bivariate gamma random vector

Bara Kim; Jeongsim Kim

doi:10.1016/j.orl.2017.06.001

The maximum distribution of Kibble's bivariate gamma random vector

Bara Kim, Jeongsim Kim

Department of Mathematics

Research output: Contribution to journal › Article

1 Citation (Scopus)

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
Pages (from-to)	392-396
Number of pages	5
Journal	Operations Research Letters
Volume	45
Issue number	4
DOIs	https://doi.org/10.1016/j.orl.2017.06.001
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

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Kim, B., & Kim, J. (2017). The maximum distribution of Kibble's bivariate gamma random vector. Operations Research Letters, 45(4), 392-396. https://doi.org/10.1016/j.orl.2017.06.001

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