Multivariate Exponential distribution

[tpkay]

Hi to all :)

Does anyone have any idea how the expression for a multivariate exponential distribution looks like? If possible, can you post the source url?

Commonly available is the multivariate normal distribution.

thanks in advance

 

[EnumaElish]

Google:
http://www.defaultrisk.com/pa_corr_05.htm
http://www.eric.ed.gov/ERICWebPorta...Search_SearchType_0=eric_accno&accno=ED395962
ieeexplore.ieee.org/iel5/18/27038/01201072.pdf
etc...

 

[tacman]

The multivariate exponential distribution is a probability distribution that extends the concept of the exponential distribution to multiple variables. It is often used in statistical analysis to model the joint distribution of multiple correlated variables.

The expression for the multivariate exponential distribution can be written as:

f(x1,x2,...,xn) = λ1λ2...λn exp(-λ1x1-λ2x2-...-λnxn)

where λ1, λ2, ..., λn are the rate parameters for each variable and x1, x2, ..., xn are the corresponding values.

As for the source url, you can refer to any standard statistics textbook or online resources such as Wolfram MathWorld or Stat Trek for more information and examples. Hope this helps!