Pricing exchange options with correlated jump diffusion processes

N Cufaro Petroni, P Sabino - Quantitative Finance, 2020 - Taylor & Francis
We study the applicability to energy facilities of a model for correlated Poisson processes
generated by self-decomposable jumps. In this context, the implementation of our approach …

Characterizing the spatial correlation of daily streamflows

A Betterle, M Schirmer, G Botter - Water Resources Research, 2017 - Wiley Online Library
In this study we propose an analytical framework to estimate the spatial correlation of daily
flows at two arbitrary locations within a given hydrologic district or river basin. The method …

On a class of bivariate exponential distributions

N Balakrishna, K Shiji - Statistics & Probability Letters, 2014 - Elsevier
A class of absolutely continuous bivariate exponential distributions is constructed using the
product form of a first order autoregressive model. Inference methods are proposed for …

A new bivariate exponential distribution for modeling moderately negative dependence

M Mohsin, H Kazianka, J Pilz, A Gebhardt - Statistical Methods & …, 2014 - Springer
This paper introduces a new bivariate exponential distribution, called the Bivariate Affine-
Linear Exponential distribution, to model moderately negative dependent data. The …

Statistical analysis of bivariate failure time data with Marshall–Olkin Weibull models

Y Li, J Sun, S Song - Computational statistics & data analysis, 2012 - Elsevier
This paper discusses parametric analysis of bivariate failure time data, which often occur in
medical studies among others. For this, as in the case of univariate failure time data …

Coupling Poisson processes by self-decomposability

N Cufaro Petroni, P Sabino - Mediterranean Journal of Mathematics, 2017 - Springer
We analyze a method to produce pairs of non-independent Poisson processes M (t), N (t)
from positively correlated, self-decomposable, exponential renewals. In particular, the …

Correlated bivariate sequences for queueing and reliability applications

SK Iyer, D Manjunath - Communications in Statistics-Theory and …, 2004 - Taylor & Francis
We derive bivariate exponential, gamma, Coxian or hyperexponential distributions. To
obtain a positive correlation, we define a linear relation between the variates X and Y of the …

A family of bivariate exponential distributions and their copulas

N Unnikrishnan Nair, PG Sankaran - Sankhya B, 2014 - Springer
In the present paper we derive a family of bivariate exponential distributions based on an
extended lack of memory property of a class of univariate distributions. These bivariate …

[HTML][HTML] A class of bivariate exponential distributions

G Regoli - Journal of multivariate analysis, 2009 - Elsevier
We introduce a class of absolutely continuous bivariate exponential distributions, generated
from quadratic forms of standard multivariate normal variates. This class is quite flexible and …

A multivariate gamma distribution and its characterizations

M Carpenter, N Diawara - American Journal of Mathematical and …, 2007 - Taylor & Francis
SYNOPTIC ABSTRACT In this paper, we proffer a new multivariate gamma distribution with
potential applications in survival and reliability modeling. The multivariate distribution is not …