Source of Publication
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.
Physical Sciences and Mathematics
Bivariate exponential distributions, Common shock, Counter-monotonic, Dependence modeling, Fréchet bound, Negative dependence
Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.
Bentoumi, Rachid; El Ktaibi, Farid; and Mesfioui, Mhamed, "A new family of bivariate exponential distributions with negative dependence based on counter-monotonic shock method" (2021). All Works. 4219.
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Open Access Type
Gold: This publication is openly available in an open access journal/series