The maximum distribution of Kibble's bivariate gamma random vector

초록

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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