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 | Science Articles, Homework Help, Discussion**

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

**Physics Forums | Science Articles, Homework Help, Discussion**