AN EXTENSION OF MARSHALL AND OLKIN BIVARIATE EXPONENTIAL-DISTRIBUTION

This article extends Marshall and Olkin's bivariate exponential distri bution such that it is absolutely continuous and need not be memoryles s. The new marginal distribution has an increasing failure rate, and t he joint distribution exhibits an aging pattern. It offers an advantag e in separately identifying the shock arrival rates and their impacts. Regarding estimation of the model, both maximum likelihood and method -of-moments-type estimation are considered. The former is more efficie nt but computationally more demanding, whereas the latter is simpler i n computation but less efficient. The trade-off between computational burden and efficiency is gauged through Monte Carlo simulations, and i t turns out to be favorable for the method-of-moments-type estimation.