- #1
chased
- 2
- 0
Pdf (or mgf) of maximum of dependent exponential random variables ?
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?
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?