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The maximum distribution of Kibble's bivariate gamma random vector
- Authors
- Kim, Bara; Kim, Jeongsim
- Issue Date
- 7월-2017
- Publisher
- ELSEVIER SCIENCE BV
- Keywords
- Kibble' s bivariate gamma distribution; Downton' s bivariate exponential distribution; First passage time
- Citation
- OPERATIONS RESEARCH LETTERS, v.45, no.4, pp.392 - 396
- Indexed
- SCIE
SCOPUS
- Journal Title
- OPERATIONS RESEARCH LETTERS
- Volume
- 45
- Number
- 4
- Start Page
- 392
- End Page
- 396
- ISSN
- 0167-6377
- 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{Y-1, Y-2} when a random vector (Y-1, Y-2) follows Kibble's BGD with integral shape parameter. This is achieved by showing that max{Y-1, Y-2} has the same distribution as the first passage time of a continuous time Markov process. (C) 2017 Elsevier B.V. All rights reserved.
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