[R] [FORGED] Generate correlated expontial distribution -- lamda please guide

Rolf Turner r.turner at auckland.ac.nz
Sat Jun 17 00:59:08 CEST 2017

On 16/06/17 15:53, Sunny Singha wrote:
> Hi,
> I need to generate correlated (positive as well as negative) bivariate exponential
> distribution with rate of 1/5 or any rate.
> I need some guidance here. Please help.

I believe this question is ill-posed.

(1) My understanding is that there is no "bivariate exponential" 
distribution, or rather that there are many possible definitions. 
(Others, younger and wiser, may correct me or elaborate on this.)

(2) If your requirement is simply to obtain a bivariate distribution 
with exponential marginals and a given correlation between the 
variables, I believe there are a variety of ways.  One way might be to 
use copulas.  Another might be to use "coupling" (see Muirhead, "Aspects 
of Multivariate Statistical Theory", Wiley, p. 43, Ex. 1.7).

Some googling (why didn't you do that?) led me to

> http://r.789695.n4.nabble.com/How-to-generate-bivariate-exponential-distribution-td3596944.html

in which Petr Savicky gives a simple construction.


Rolf Turner

Technical Editor ANZJS
Department of Statistics
University of Auckland
Phone: +64-9-373-7599 ext. 88276

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