Block and Basu bivariate exponential distribution is one of the most popular absolute continuous bivariate distributions. Recently, Kundu and Gupta (‘A class of absolute continuous bivariate distributions’, Statistical Methodology, 2010) introduced Block and Basu bivariate Weibull distribution, which is a generalization of the Block and Basu bivariate exponential distribution, and provided the ...

W automate the bivariate change-of-variables technique for bivariate continuous random variables with arbitrary distributions. This extends the algorithm for univariate change-of-variables devised by Glen et al. [Glen, A. G., L. M. Leemis, J. H. Drew. 1997. A generalized univariate change-of-variable transformation technique. INFORMS J. Comput. 9(3) 288–295]. Our transformation procedure handle...

Modelling the relationship between directional variables is a nearly unexplored field. The bivariate wrapped Cauchy distribution has recently emerged as the first closed family of bivariate directional distributions (marginals and conditionals belong to the same family). In this paper, we introduce a tree-structured Bayesian network suitable for modelling directional data with bivariate wrapped...

Performance measures such as the Sharpe ratio and the information ratio are estimation subject to estimation error. Lo (2002) derives the explicit expressions for the statistical distribution of the Sharpe ratio. Bertrand and Protopopescu (2007) have extended his work to the bivariate case which corresponds to the Information ratio. In the present paper, we analyze the effects of skewness and k...