[R] How to generate bivariate exponential distribution?

[Petr Savicky]

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.