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 | |
| Publication status | Published - 2017 Jul 1 |
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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
Cite this
The maximum distribution of Kibble's bivariate gamma random vector. / Kim, Bara; Kim, Jeongsim.
In: Operations Research Letters, Vol. 45, No. 4, 01.07.2017, p. 392-396.Research output: Contribution to journal › Article
}
TY - JOUR
T1 - The maximum distribution of Kibble's bivariate gamma random vector
AU - Kim, Bara
AU - Kim, Jeongsim
PY - 2017/7/1
Y1 - 2017/7/1
N2 - 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.
AB - 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.
KW - Downton's bivariate exponential distribution
KW - First passage time
KW - Kibble's bivariate gamma distribution
UR - http://www.scopus.com/inward/record.url?scp=85021653421&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=85021653421&partnerID=8YFLogxK
U2 - 10.1016/j.orl.2017.06.001
DO - 10.1016/j.orl.2017.06.001
M3 - Article
AN - SCOPUS:85021653421
VL - 45
SP - 392
EP - 396
JO - Operations Research Letters
JF - Operations Research Letters
SN - 0167-6377
IS - 4
ER -