Pdf (or mgf) of maximum of dependent exponential random variables ?(adsbygoogle = window.adsbygoogle || []).push({});

max of Z1, Z2, Z3, Z4

where

Z1 = |X1+X2+X3|^2 + |Y1+Y2+Y3|^2

Z2 = |X1-X2+X3|^2 + |Y1-Y2+Y3|^2

Z3 = |X1+X2-X3|^2 + |Y1+Y2-Y3|^2

Z4 = |X1-X2-X3|^2 + |Y1-Y2-Y3|^2

Xi, Yi are independent zero mean normal with variance 1/2.

So, Z1,Z2,Z3,Z4 are indentically distributed exponential random variables,

But they are correlated.

Can anybody help me?

**Physics Forums - The Fusion of Science and Community**

Join Physics Forums Today!

The friendliest, high quality science and math community on the planet! Everyone who loves science is here!

The friendliest, high quality science and math community on the planet! Everyone who loves science is here!

# Maximum of dependent exponential random variables

Loading...

Similar Threads for Maximum dependent exponential | Date |
---|---|

I Determining functional relation of two dependant variables | Apr 5, 2018 |

I Why is the maximum likelihood estimation accurate? | Dec 20, 2017 |

I How do I normalise my data to a maximum of 100? | May 7, 2017 |

I Maximum likelihood w/ histogram, zero probability samples | Apr 25, 2017 |

I Why is the Maximum Likelihood Function a product? | Nov 3, 2016 |

**Physics Forums - The Fusion of Science and Community**