On Tue, Jun 14, 2011 at 08:40:00AM -0700, xuyongdeng wrote:

> Any one know is there any package or function to generate bivariate

> exponential distribution? I gusee there should be three parameters, two rate

> parameters and one correlation parameter. I just did not find any function

> available on R. Any suggestion is appreciated.

Do you have a specific bivariate exponential distribution in mind?

If not, then try the following

n <- 1000

lambda1 <- 2

lambda2 <- 3

common <- 1

x1 <- rexp(n, rate=lambda1-common)

x2 <- rexp(n, rate=lambda2-common)

z <- rexp(n, rate=common)

y1 <- pmin(x1, z)

y2 <- pmin(x2, z)

The variables y1, y2 have exponential distribution with rates

lambda1, lambda2 and they are positively correlated, if

0 < common < min(lambda1, lambda2)

The correlation increases with increasing "common".

Petr Savicky.

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