A New Family of Bivariate Exponential Distributions with Negative Dependence Based on Counter-Monotonic Shock Method
We introduce a new family of bivariate exponential distributions based on the counter-monotonic shock model. This family of distribution is easy to simulate and includes the Fréchet lower bound, which allows to span all degrees of negative dependence. The construction and distributional properties o...
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| Format: | Article |
| Language: | English |
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MDPI AG
2021-04-01
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| Series: | Entropy |
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| Online Access: | https://www.mdpi.com/1099-4300/23/5/548 |
| _version_ | 1827693775479111680 |
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| author | Rachid Bentoumi Farid El Ktaibi Mhamed Mesfioui |
| author_facet | Rachid Bentoumi Farid El Ktaibi Mhamed Mesfioui |
| author_sort | Rachid Bentoumi |
| collection | DOAJ |
| description | We introduce a new family of bivariate exponential distributions based on the counter-monotonic shock model. This family of distribution is easy to simulate and includes the Fréchet lower bound, which allows to span all degrees of negative dependence. The construction and distributional properties of the proposed bivariate distribution are presented along with an estimation of the parameters involved in our model based on the method of moments. A simulation study is carried out to evaluate the performance of the suggested estimators. An extension to the general model describing both negative and positive dependence is sketched in the last section of the paper. |
| first_indexed | 2024-03-10T11:51:04Z |
| format | Article |
| id | doaj.art-638a89347a6c4616bd77daccb4675a5e |
| institution | Directory Open Access Journal |
| issn | 1099-4300 |
| language | English |
| last_indexed | 2024-03-10T11:51:04Z |
| publishDate | 2021-04-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Entropy |
| spelling | doaj.art-638a89347a6c4616bd77daccb4675a5e2023-11-21T17:43:47ZengMDPI AGEntropy1099-43002021-04-0123554810.3390/e23050548A New Family of Bivariate Exponential Distributions with Negative Dependence Based on Counter-Monotonic Shock MethodRachid Bentoumi0Farid El Ktaibi1Mhamed Mesfioui2Department of Mathematics and Statistics, Zayed University, Abu Dhabi 144534, United Arab EmiratesDepartment of Mathematics and Statistics, Zayed University, Abu Dhabi 144534, United Arab EmiratesDépartement de Mathématiques et d’Informatiques, Université du Québec à Trois-Rivières, Trois-Rivières, QC G8Z 4M3, CanadaWe introduce a new family of bivariate exponential distributions based on the counter-monotonic shock model. This family of distribution is easy to simulate and includes the Fréchet lower bound, which allows to span all degrees of negative dependence. The construction and distributional properties of the proposed bivariate distribution are presented along with an estimation of the parameters involved in our model based on the method of moments. A simulation study is carried out to evaluate the performance of the suggested estimators. An extension to the general model describing both negative and positive dependence is sketched in the last section of the paper.https://www.mdpi.com/1099-4300/23/5/548bivariate exponential distributionscommon shockcounter-monotonicdependence modelingFréchet boundnegative dependence |
| spellingShingle | Rachid Bentoumi Farid El Ktaibi Mhamed Mesfioui A New Family of Bivariate Exponential Distributions with Negative Dependence Based on Counter-Monotonic Shock Method Entropy bivariate exponential distributions common shock counter-monotonic dependence modeling Fréchet bound negative dependence |
| title | A New Family of Bivariate Exponential Distributions with Negative Dependence Based on Counter-Monotonic Shock Method |
| title_full | A New Family of Bivariate Exponential Distributions with Negative Dependence Based on Counter-Monotonic Shock Method |
| title_fullStr | A New Family of Bivariate Exponential Distributions with Negative Dependence Based on Counter-Monotonic Shock Method |
| title_full_unstemmed | A New Family of Bivariate Exponential Distributions with Negative Dependence Based on Counter-Monotonic Shock Method |
| title_short | A New Family of Bivariate Exponential Distributions with Negative Dependence Based on Counter-Monotonic Shock Method |
| title_sort | new family of bivariate exponential distributions with negative dependence based on counter monotonic shock method |
| topic | bivariate exponential distributions common shock counter-monotonic dependence modeling Fréchet bound negative dependence |
| url | https://www.mdpi.com/1099-4300/23/5/548 |
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