CHAPTER 6

Marshall-Olkin Bivariate Exponential

Distribution: Generalisations and
Applications

6.1 Introduction
Exponential distributions have been introduced as a simple model for statistical analysis
of lifetimes. The bivariate exponential distribution and the multivariate extension of ex-
ponential distributions due to Marshall-Olkin (1967) has received considerable attention
in describing the statistical dependence of components in a 2-component system and in
developing statistical inference procedures. Moment generating function of the bivariate
generalized Exponential distribution is discussed by Ashour et al. (2009). Multivariate gen-
eralized Exponential distribution is studied by Mu and Wang (2010). Hanagal (1995) stud-
ied testing reliability in a bivariate exponential stress-strength model. A bivariate Marshall
and Olkin Exponential minification process is discussed by Ristic et al. (2008). Reliability

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of stress-strength model with a bivariate exponential distribution is disscussed by Mokhlis

(2006).
Marshall and Olkin (1997) introduced a method of obtaining an extended family of dis-
tributions including one more parameter. For a random variable with a distribution function
F (x) and survival function F (x), we can obtain a new family of distribution functions called
univariate Marshall-Olkin family having cumulative distribution function G(x) given by

F (x)
G(x) = ; −∞ < x < ∞; 0 < α < ∞.
α + (1 − α)F (x)

Then the corresponding survival function is

αF (x)
G(x) = ; −∞ < x < ∞; 0 < α < ∞.
1 − (1 − α)F (x)

This new family involves an additional parameter α. In bivariate case if (X, Y ) be a random
vector with joint survival function F (x, y), then

F (x, y)
G(x, y) = ; −∞ < x < ∞; −∞ < y < ∞; 0 < α < ∞.
α + (1 − α)F (x, y)

constitute the Marshall-Olkin bivariate family of distributions. The new parameter α results
in added flexibility of distributions and influence the reliability properties.
Autoregressive models are developed with the idea that the present value of the se-
ries, Xt can be explained as a function of past values namely, Xt−1 , Xt−2 , ..., Xt−p where p
determines the number of steps in to the past, needed to forecast the current value. A first
order autoregressive time series model with exponential stationary marginal distribution
was developed by Gaver and Lewis (1980). Jose et al. (2011) introduced and studied a
Marshall-Olkin bivariate Weibull Process. In this chapter we are discussing three different
structures of the minification processes and develop minification process with Extended
Marshall-Olkin bivariate exponential distribution as marginal. First we consider a bivariate

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minification process {(X1n , X2n ), n ≥ 0} given by

X1n = min(p−1 X1n−1 , (1 − p)−1 1n )

X2n = min(p−1 X2n−1 , (1 − p)−1 2n )

where {(1n , 2n )} is a sequence of i.i.d. nonnegative random vectors, (X10 , X20 ) and
{(1i , 2i ), i ≥ 1} are independent random vectors, 0 < p < 1.
Now we consider a bivariate autoregressive minification process (Y1n , Y2n ) having the
structure {(Y1n , Y2n )} given by

 (ε , ε ) w.p. α,
1n 2n
(Y1n , Y2n ) =
 min(Y1n−1 , ε1n ), min(Y2n−1 , ε2n ), w.p. 1 − α

where 0 ≤ α ≤ 1.
Finally we consider a bivariate autoregressive minification process (Xn , Yn ) having
the structure {(Xn , Yn )} given by

 (ε , η ) w.p. p,
n n
(Xn , Yn ) =
 (min(Xn−1 , Yn−1 ), (εn , ηn )), w.p. 1 − p ,

where 0 ≤ p ≤ 1.
This chapter is arranged as follows. In section 6.2, Marshall- Olkin bivariate expo-
nential distribution and its properties are discussed. Extended marshall-Olkin bivariate
exponential distribution is introduced and studied in section 6.3. Multivariate extensions of
the models are given in section 6.4. Conclusions are given in section 6.5.

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6.2 Marshall- Olkin bivariate exponential (MOBVE) distribution

Marshall- Olkin bivariate exponential distribution with parameters λ1 , λ2 , λ12 is defined by
the survival function

F̄ (x1 , x2 ) = e(−λ1 x1 −λ2 x2 −λ12 max(x1 ,x2 )) , x1 , x2 > 0 (6.2.1)

and has univariate exponential marginals with survival functions given by

F̄ (x1 ) = e−(λ1 +λ12 )x1

F̄ (x2 ) = e−(λ2 +λ12 )x2 .

Marshall and Olkin (1967) fatal shock model assumes that the components of a two-
component system die after receiving a shock which is always fatal. Independent Poisson
processes S1 (t, λ1 ) , S2 (t, λ2 ) , S3 (t, λ12 ) govern the occurrence of shocks. Events in the
process S1 (t, λ1 ) are shocks to component 1, events in the process S2 (t, λ1 ) are shocks
to component 2, and events in the process S3 (t, λ12 ) are shocks to both components. The
joint survival distribution (X1 , X2 ) of the components 1 and 2 is

F̄ (x1 , x2 ) = P (X1 > x1 ; X2 > x2 )

= P {S1 (x1 , λ1 ) = 0; S2 (x2 λ2 ) = 0; S3 (max(x1 ; x2 ); λ12 = 0)}
= e(−λ1 x1 −λ2 x2 −λ12 max(x1 ,x2 )) , x1 , x2 > 0

The joint density of (6.2.1) is


 λ2 (λ1 + λ12 )F̄ (x1 , x2 ); x1 < x2 , x1 , x2 > 0


f (x1 , x2 ) = λ1 (λ2 + λ12 )F̄ (x1 , x2 ); x2 < x1 , x1 , x2 > 0 (6.2.2)


−λ12 F̄ (x1 , x1 ); x1 = x2 > 0


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6.2.1 Minification Processes with MOBVE distribution

Model 1 Consider a bivariate minification process {(X1n , X2n ), n ≥ 0} given by

X1n = min(p−1 X1n−1 , (1 − p)−1 1n )

X2n = min(p−1 X2n−1 , (1 − p)−1 2n )

where {(1n , 2n )} is a sequence of i.i.d. nonnegative random vectors. (ε1n , ε2n ) and
(X1m , X2m ) are independent random vectors for all m < n and 0 < p < 1.

Theorem 6.2.1. A bivariate minification process {(X1n , X2n ), n ≥ 0} given by Model

1 is a strictly stationary Markov process with MOBVE (λ1 , λ2 , λ12 ) marginal distribu-
d
tion if and only if (ε1n , ε2n ) has a MOBVE (λ1 , λ2 , λ12 ) distribution and (X10 , X20 ) =
(ε11 , ε21 ).

Proof. First assume that the process {(X1n , X2n )} is a strictly stationary process with
MOBVE (λ1 , λ2 , λ12 ) distribution. Let F̄ (x1 , x2 ) be the survival function of the random
vector (X1n , X2n ) and Ḡ(x1 , x2 ) be the survival function of the random vector (ε1n , ε2n ).
Then it follows from model 1 that

F̄ (x1 , x2 ) = P [X1n > x1 , X2n > x2 ]

F̄ (x1 , x2 )
Hence we have, Ḡ ((1 − p)x1 , (1 − p)x2 ) =
F̄ (px1 , px2 )
= e−λ1 (1−p)x1 −λ2 (1−p)x2 −λ12 (1−p) max(x1 ,x2 ) .

This implies that the random vector (ε1n , ε2n ) has a MOBVE (λ1 , λ2 , λ12 ) distribution.
d
Conversely, assume that (ε1n , ε2n ) follows MOBVE (λ1 , λ2 , λ12 ) and (X10 , X20 ) =
(ε11 , ε21 ). Let F̄n (x1 , x2 ) be the survival function of the random vector (X1n , X2n ). Then
for n = 1 we have

F̄1 (x11 , x21 ) = F̄0 (px1 , px2 ) Ḡ ((1 − p)x1 , (1 − p)x2 )

= e−λ1 x1 −λ2 x2 −λ12 max(x1 ,x2 ) ,

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which implies that (X11 , X21 ) has a MOBVE (λ1 , λ2 , λ12 ) distribution. Suppose now that
(X1i , X2i ) has a MOBVE (λ1 , λ2 , λ12 ) distribution, i = 1, 2, . . . , n − 1. Then

F̄n (x1 , x2 ) = F̄n−1 (px1 , px2 ) Ḡ ((1 − p)x1 , (1 − p)x2 )

= e−λ1 x1 −λ2 x2 −λ12 max(x1 ,x2 ) ,

d d
i.e. (X1n , X2n ) = MOBVE(λ1 , λ2 , λ12 ). Thus (X1n , X2n ) = (X10 , X20 ) for every n and
since the process {(X1n , X2n )} is a Markov process, it follows that the process {(X1n , X2n )}
is a strictly stationary process.

6.2.2 Properties of the Process

First we shall consider the joint survival function of the random vectors (X1n+h , X2n+h )
and (X1n , X2n ). From model 1 the joint survival function is given by

S̄h (x1 , x2 , z, v) = P (X1n+h > x1 , X2n+h > x2 , X1n > z, X2n > v)
= S̄h−1 (px1 , px2 , z, v) Ḡ ((1 − p)x1 , (1 − p)x2 )
h
h h

Y
Ḡ ph−i (1 − p)x1 , ph−i (1 − p)x2


= S̄0 p x1 , p x2 , z, v
i=1
h
F̄ (p(h−i) (1 − p)x1 , p(h−i)/ (1 − p)x2 )
Y
= S̄0 ph x1 , ph x2 , z, v


i=1
F̄ (p(h−i+1) (1 − p)x1 , p(h−i+1) (1 − p)x2 )


F̄ max(ph x1 , z), max(ph x2 , v) F̄ ((1 − p)x1 , (1 − p)x2 )
=
F̄ (ph (1 − p)x1 , ph (1 − p)h x2 )

We can see that the joint survival function has an absolutely continuous component for
z > ph x1 , v > ph x2 , z 6= v and x1 6= x2 .
We now consider the autocovariance structure of the Marshall–Olkin bivariate Expo-
nential minification process. Let us first consider the autocovariance function of the random

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variables X1n+1 and X1n . From equation (6.2.1), we obtain that


 e−(λ1 +λ12 )(1−p)x2 , x1 > px2 ,
P (X1n+1 > x2 |X1n = x1 ) =
 0, x1 ≤ px2 .

Then the conditional probability density function is


dP (X1n+1 ≤ x2 |X1n = x1 )  (λ1 + λ12 )(1 − p)x2 e−(λ1 +λ12 )(1−p)x2 , x1 > px2 ,
=
dx2  0, x1 ≤ px2 .
(6.2.3)
Also, we have

P X1n+1 = p−1 X1n |X1n = x1 = P ε1n+1 ≥ p−1 (1 − p)x1 = e−(λ1 +λ12 )(1−p)x/p .

(6.2.4)
Now, using equations (6.2.3) and (6.2.4) the conditional expectation is obtained as,

p2
E(X1n+1 |X1n = x1 ) =
(λ1 + λ12 )2 (1 − p)

Using the fact that E(X1n+1 X1n ) = E(X1n E(X1n+1 |X1n )), we get

1 − p2
E(X1n+1 X1n ) =
(λ1 + λ12 )2 (1 − p)

p
Cov(X1n+1 , X1n ) =
(λ1 + λ12 )2
p
Similarly, we have Cov(X2n+1 , X2n ) = (λ2 +λ12 )2
. Let us consider now the autocovari-
ance function of random variables X1n+1 and X2n . We need the joint survival function
P (X1n+1 > x1 , X2n > x2 ). It can be derived as

P (X1n+1 > x1 , X2n > x2 ) = P (X1n > px1 , X2n > x2 ) P (ε1n+1 > (1 − p)x1 )
= e−(λ1 +λ12 (1−p))x1 −λ2 x2 −λ12 max(px1 ,x2 ) .

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Then similar to the derivation of Cov(X1n+1 , X1n ) we can obtain Cov(X2n+1 , X2n ).
The autocovariance matrix at lag 1 of a Marshall–Olkin bivariate exponential minifica-
tion process is
 
p pλ12
(λ1 +λ12 )2 (λ1 +λ12 )(λ2 +λ12 )(λ1 +λ12 +λ2 p)
C= pλ12 p
.
(λ1 +λ12 )(λ2 +λ12 )(λ2 +λ12 +λ1 p) (λ2 +λ12 )2

6.2.3 Estimation of the Parameters

In this section, we shall consider the problem of estimating the parameters p, α1 , α2 , λ1 ,

λ2 and λ12 . Let X0 , X1 , . . . , Xn be a sample of size n + 1. We shall consider first the
estimation of the parameter p. Easy calculations show that P (Xn+1 > Xn ) = (2 − p)−1
and P (Yn+1 > Yn ) = (2 − p)−1 . Let Ui = I(Xi+1 > Xi ) and Vi = I(Yi+1 > Yi ). Since
n−1 n−1
1 1
P P
the process {(Xn , Yn )} is ergodic, the arithmetic means Ūn = n
Ui and V̄n = n
Vi
i=0 i=0
are strongly consistent estimators of (2 − p)−1 . This implies that the estimators pb1n =
2 − (Ūn )−1 and pb2n = 2 − (V̄n )−1 are strongly consistent estimators of p.
Now we shall consider the estimation of the parameters λ1 , λ2 and λ12 . Since E(Xn ) =
(λ1 + λ12 )−1 , E(Yn ) = (λ2 + λ12 )−1 and
 
1 1 1
E(Xn Yn ) = + ,
λ1 + λ2 + λ12 λ1 + λ12 λ2 + λ12

we can take the estimates of the parameters λ1 , λ2 and λ12 as the solutions of the system
of the equations

n
!−1
1 X
λ
b1 + λ
b12 = Xi
n + 1 i=0
n
!−1
1 X
λ
b2 + λ
b12 = Yi
n + 1 i=0
  n
1 1 1 1 X
+ = Xi Yi .
λ
b1 + λ
b2 + λ
b12 λ b1 + λ
b12 λ b2 + λ
b12 n + 1 i=0

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Figure 6.1: The simulated sample path for various values of n and p when λ1 = 0.5,
λ2 = 1, λ12 = 1.5

6.2.4 Sample Path Properties of MOBVE Process

In order to study the behavior of the processes, we simulate the sample paths for various
values of n and p. In particular we take λ1 = 0.5, λ2 = 1 and λ12 = 1.5 and is given in
Figure 6.1. In Fig. 1a, Fig. 1b and in Fig. 1c we take n = 200 and p = 0.6. In Fig. 2a, Fig.
2b and in Fig. 2c we take n = 300 and p = 0.8. In Fig. 3a, Fig. 3b and in Fig. 3c we take
n = 400 and p = 0.9.

6.2.5 Determination of Reliability

Mukherjee and Maiti (2005) discussed the determination of reliability with respect to MOBVE
distribution. They consider the survival function given in (6.2.1) and also consider Y
(strength) as non negative random variable following the exponential distribution with sur-
vival function
Ḡ(y) = e−y ; 0 < y < ∞

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When stress components are in series, the reliability is given by

λ1 + λ2 + λ12
R=
1 + λ1 + λ2 + λ12

When stress components are in parallel, the reliability is given by

1 1 1
R = [1 − − + ]
λ1 + λ12 + 1 λ2 + λ12 + 1 λ1 + λ2 + λ12 + 1

6.3 Extended Marshall-Olkin bivariate exponential (EMOBVE) model

Here we construct the new probability model applying the technique given by Marshall and
Olkin (1997). If F̄ (x1 , x2 ) is the survival function of a bivariate random vector (X1 , X2 ) then
the Marshall–Olkin family of distributions with an additional parameter α is called Extended
Marshall-Olkin bivariate exponential distribution and has the new survival function given by

αe(−λ1 x1 −λ2 x2 −λ12 max(x1 ,x2 ))

Ḡ(x1 , x2 ) = , α, x1 , x2 > 0
1 − (1 − α)e(−λ1 −λ2 x2 −λ12 max(x1 ,x2 ))

Theorem 6.3.1. Let {(X1n , X2n ), n ≥ 1} be a sequence of i.i.d. random vectors with
common survival function F̄ (x1 , x2 ) which is survival function of MOBVE(λ1 , λ2 , λ12 ).
Let N be a random variable with a geometric(α) distribution and suppose that N and
(X1i , X2i ) are independent for all i ≥ 1. Define UN = min X1i and VN = min X2i .
1≤i≤N 1≤i≤N
Then the random vector (UN , VN ) is distributed as EMOBVE (α, λ1 , λ2 , λ12 ) if and only
if (X1i , X2i ) has MOBVE(λ1 , λ2 , λ12 ) distribution.

Proof. Let S̄(x1 , x2 ) be the survival function of (UN , VN ). By definition

S̄(x1 , x2 ) = P (UN > x1 , VN > x2 ) =
αF̄ (x1 , x2 )
= =
1 − (1 − α)F̄ (x1 , x2 )
∞
X
[F̄ (x1 , x2 )]n (1 − α)n−1 α
n=1
αe−λ1 x1 −λ2 x2 −λ12 max(x1 ,x2 )
1 − (1 − α)e−λ1 x1 −λ2 x2 −λ12 max(x1 ,x2 )

which is the EMOBVE (α, λ1 , λ2 , λ12 ). Converse easily follows.

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Model 1
Consider a bivariate minification process {(X1n , X2n ), n ≥ 0} given by

X1n = min(p−1 X1n−1 , (1 − p)−1 1n )

X2n = min(p−1 X2n−1 , (1 − p)−1 2n )

where {(1n , 2n )} is a sequence of i.i.d. nonnegative random vectors, (X10 , X20 ) and
{(1i , 2i ), i ≥ 1} are independent random vectors, 0 < p < 1.

Theorem 6.3.2. A bivariate minification processes {(X1n , X2n ), n ≥ 0} has Extended

Marshall-Olkin bivariate exponential (EMOBVE) stationary marginal distribution iff
{(1n , 2n )} has Marshall-Olkin bivariate exponential (MOBVE) distribution.

Proof. Let F̄ (x1 , x2 ) be the survival function of the random vector (X1n , X2n ) and Ḡ(x1 , x2 )
be the survival function of the random vector (1n , 2n )

F̄ (x1 , x2 ) = P [X1n > x1 , X2n > x2 ]

F̄ (x1 , x2 )
Hence we have, Ḡ((1 − p)x1 , (1 − p)x2 ) =
F̄ (px1 , px2 )
= e−λ1 (1−p)x1 −λ2 (1−p)x2 −λ12 (1−p)max(x1 ,x2 )

This implies that {(1n , 2n )} has EMOBVE (λ1 , λ2 , λ12 ) distribution.
Conversely assume that {(1n , 2n )} has EMOBVE (λ1 , λ2 , λ12 ) distribution.
Then
F̄ (x1 , x2 ) = e(−λ1 x1 −λ2 x2 −λ12 max(x1 ,x2 ))

Model 2
Consider a bivariate autoregressive minification process (Y1n , Y2n ) having the structure

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{(Y1n , Y2n )} given by


 (ε ,  ) w.p. α,
1n 2n
(Y1n , Y2n ) =
 min(Y1n−1 , ε1n ), min(Y2n−1 , 2n ), w.p. 1 − α

where 0 ≤ α ≤ 1.

Theorem 6.3.3. A minification process {(Y1n , Y2n ), n ≥ 0} has EM OBV E(α, λ1 , λ2 , λ12 )
stationary marginal distribution if and only if (1n , 2n ) has M OBV E(λ1 , λ2 , λ12 ) dis-
tribution and (X0 , Y0 ) has MOBVE (α, λ1 , λ2 , λ12 ) distribution .

Proof. Let Ḡn (x1 , x2 ) and F̄ (x1 , x2 ) be the survival functions of (X1n , X2n ) and (1n , 2n ),
respectively. From the definition of the process, we have that

Ḡn (x1 , x2 ) = P (Y1n > x1 , Y2n > x2 ) = αF̄ (x1 , x2 ) + (1 − α)Ḡn−1 (x1 , x2 )F̄ (x1 , x2 ).
(6.3.1)
Under stationarity

Ḡ(x1 , x2 ) = [α + (1 − α)Ḡ(x1 , x2 )]F̄ (x1 , x2 ). (6.3.2)

Replacing Ḡ with the survival function of the random vector with EMOBVE (α, λ1 , λ2 , λ12 )
distribution and solving the obtained equation on F̄ (x1 , x2 ), we obtain

F̄ (x1 , x2 ) = e−λ1 x1 −λ2 x2 −λ12 max(x1 ,x2 ) . (6.3.3)

Hence (1n , 2n ) follows MOBVE(λ1 , λ2 , λ12 ) distribution.

Conversely using for n = 1, we can show that

αe−λ1 x1 −λ2 x2 −λ12 max(x1 ,x2 )

Ḡ1 (x1 , x2 ) = ,
1 − (1 − α)e−λ1 x1 −λ2 x2 −λ12 max(x1 ,x2 )

which is the survival function of EMOBVE (α, λ1 , λ2 , λ12 ). Hence it follows that (Y11 , Y21 )
d
has EMOBVE(α, λ1 , λ2 , λ12 ). Now assume that (Y1n−1 , Y2n−1 ) = EMOBVE(α, λ1 , λ2 , λ12 ).

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Then

Ḡn (x1 , x2 ) = αF̄ (x1 , x2 ) + (1 − α)Ḡn−1 (x1 , x2 )F̄ (x1 , x2 )

= [α + (1 − α)Ḡn−1 (x1 , x2 )]F̄ (x1 , x2 )
αe−λ1 x1 −λ2 x2 −λ12 max(x1 ,x2 )
= .
1 − (1 − α)e−λ1 x1 −λ2 x2 −λ12 max(x1 ,x2 )

Thus, (Y1n , Y2n ) follows EMOBVE(α, λ1 , λ2 , λ12 ) distribution. Hence by induction (Y1n , Y2n )
has EMOBVE(α, λ1 , λ2 , λ12 ) distribution for every n≥ 0. This establishes stationarity.

Corollary 6.3.1. If (Y10 , Y20 ) has an arbitrary bivariate distribution and {(1n , 2n )}
has MOBVE (λ1 , λ2 , λ12 ) distribution, then {(Y1n , Y2n )} has EMOBVE (α, λ1 , λ2 , λ12 )
distribution asymptotically.

Proof. Using the equation (6.3.1) repeatedly, we find

Ḡn (x1 , x2 ) = αF̄ (x1 , x2 ) + (1 − α)F̄ (x1 , x2 )Ḡn−1 (x1 , x2 )

= αF̄ (x1 , x2 ) 1 + (1 − α)F̄ (x1 , x2 ) + (1 − α)2 F̄ 2 (x1 , x2 )Ḡn−2 (x1 , x2 )

n−1
X
= αF̄ (x1 , x2 ) (1 − α)j F̄ j (x1 , x2 ) + (1 − α)n F̄ n (x1 , x2 )Ḡ0 (x1 , x2 )
j=0


αF̄ (x1 , x2 ) 1 − (1 − α)n F̄ n (x1 , x2 )
= + (1 − α)n F̄ n (x1 , x2 )Ḡ0 (x1 , x2 ).
1 − (1 − α)F̄ (x1 , x2 )

Taking limit as n → ∞, we have that

αF̄ (x1 , x2 ) αe−λ1 x1 −λ2 x2 −λ12 max(x1 ,x2 )

lim Ḡn (x1 , x2 ) = = .
n→∞ 1 − (1 − α)F̄ (x1 , x2 ) 1 − (1 − α)e−λ1 x1 −λ2 x2 −λ12 max(x1 ,x2 )

Model 3
Consider a bivariate autoregressive minification process (Xn , Yn ) having the structure

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{(Xn , Yn )} given by

 (ε , η ) w.p. p,
n n
(Xn , Yn ) =
 (min(Xn−1 , Yn−1 ), (εn , ηn )), w.p. 1 − p ,

Theorem 6.3.4. A bivariate autoregressive minification process (Xn , Yn ) has EMOBVE

stationary marginal distribution if and only if (εn , ηn ) has MOBVE distribution.

Proof. Let Ḡ(x, y) and F̄ (x, y) be the survival functions of (Xn , Yn ) and (n , ηn ) respec-
tively. Under stationarity

Ḡ(x, y) = (p + (1 − p)Ḡ(x, y))F̄ (x, y),

if we take
F̄ (x, y) = e−λ1 x−λ2 y−λ12 max(x,y) ,

we get
pe−λ1 x−λ2 y−λ12 max(x,y)
Ḡ(x, y) =
1 − (1 − p)e−λ1 x−λ2 y−λ12 max(x,y)
Conversely,
Ḡ(x, y)
F̄ (x, y) = ,
p + (1 − p)Ḡ(x, y)
then we have
F̄ (x, y) = e−λ1 x−λ2 y−λ12 max(x,y) ,

which is the survival function of MOBVE.

6.3.1 Determination of Reliability

Let X1 and X2 be two non negative random variables jointly following EMOBVE distribution
with survival function

αe(−λ1 x1 −λ2 x2 −λ12 max(x1 ,x2 ))

Ḡ(x1 , x2 ) = , α, x1 , x2 > 0
1 − (1 − α)e(−λ1 −λ2 x2 −λ12 max(x1 ,x2 ))

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Also let Y( Strength) be a non-negative random variable following the exponential distribu-
tion with Survival function
G(y) = e−y ; 0 < y < ∞

and its pdf is

g(y) = e−y ; 0 < y < ∞

Our objective is to derive stress-strength reliability R when stress (X) has two components
X1 and X2 and strength Y is independently distributed.
Case(i): Stress components are in series
We define,
U = min(X1 , X2 ).

The survival function for U is given by

αe(−λ1 u−λ2 u−λ12 u)

Ḡ(u) = .
1 − (1 − α)e(−λ1 u−λ2 u−λ12 u)

Then reliability can be obtained as

R = P (U < Y )
Z ∞ Z y
= { f (u)du}g(y)dy
0 o
Z ∞ −y
e − e−(1+λ1 +λ2 +λ12 )y
= dy
0 1 − (1 − α)e−(λ1 +λ2 +λ12 )y

From the Table 6.1, it is clear that as α increases reliability decreases. Using this systems
with optimal reliability values can be designed.
Case(ii): Stress components are in parallel
In this case, we consider
V = max(X1 , X2 )

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Table 6.1: Reliability R under Extended Marshall-Olkin bivariate exponential model

where stress components are in series and λ1 = 1, λ2 = 2 and λ12 = 3

α R
0.005 0.995763
0.500 0.898504
1 0.857142
2 0.807543
3 0.775411
5 0.732582
10 0.672124
50 0.534067
100 0.479660
2000 0.200940

The cumulative distribution function for V is given by

αe−(λ1 +λ2 +λ12 )x 1 − e−(λ1 +λ12 )x 1 − e−(λ2 +λ12 )x

FV (x) = + + −1.
1 − (1 − α)e−(λ1 +λ2 +λ12 )x 1 − (1 − α)e−(λ1 +λ12 )x 1 − (1 − α)e−(λ2 +λ12 )x

Then,

R = P (V < Y )
Z ∞ Z y
= { f (v)dv}g(y)dy
0 o
Z ∞
= FV (y)e−y dy
0

From the Table 6.2, it is clear that as α increases reliability decreases. Using this
systems with optimal reliability values can be designed.

6.4 Multivariate Extensions

Now we extend the results to the multivariate case. For that we consider the Marshall-
Olkin fatal shock model, where there are k components subject to failure. Let ti denote the

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Table 6.2: Reliability under Extended Marshall-Olkin bivariate exponential model

where stress components are in parallel and λ1 = 1, λ2 = 2 and λ12 = 3

α R
0.05 0.960070
0.50 0.838880
2 0.703029
3 0.656812
5 0.596680
20 0.436225
100 0.280610
1000 0.133670

failure time of the ith component. The joint distribution of lifetimes (t1 , ..., tk ) is given by the
Marshall-Olkin multivariate exponential distribution. The joint survival function of lifetimes
is given by
k
X k
X
P (t1 > x1 , ..., tk > xk ) = exp(− λi x i − λij max{xi , xj }−λ1,...,k max{x1 , ..., xk })
i=1 i,j=1
Multivariate Extended Marshall-Olkin bivariate exponential distribution can be written

k k
!
X X
α exp − λi x i − λij max{xi , xj } − λ1,...,k max{x1 , ..., xk }
i=1 i,j=1
Ḡ(x1 , ..., xk ) = k k
!
X X
1 − (1 − α) exp − λi x i − λij max{xi , xj } − λ1,...,k max{x1 , ..., xk }
i=1 i,j=1

Model 1 can be extended to n variable case as follows.

Let X n = {X1n ...Xpn } where Xjn = min(p−1 Xjn−1 , (1 − p)−1 jn ), 0 < p < 1
and 1n , 2n ... are sequences of i.i.d non negative random variables. Then X n have ex-
tended multivariate Marshall Olkin exponential marginal distribution.
Model 2 can also be extended to n variable cases.

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Let

 (ε , ...ε ) w.p. α,
1n pn
Y n = {Y1n ...Ypn } =
 min(Y1n−1 , ε1n ), ... min(Ypn−1 , εpn ), w.p. 1 − α

where 0 < α < 1. Then Y n have extended multivariate Marshall Olkin exponential
stationary marginal distribution if and only if (ε1n , ...εpn ) has multivariate Marshall Olkin
exponential distribution.

6.5 Conclusions
Extended Marshall-Olkin bivariate exponential distribution is introduced and its properties
are studied. Expressions for stress-strength reliability of a two component system are
derived. Reliability R for various parameter combinations are also computed. From the
tables it is clear that as α increases reliability decreases. Using this systems with optimal
reliability values can be designed. Multivariate extensions are also done to model multi-
component systems. We introduced three different forms of minification processes and
necessary and sufficient conditions for stationarity are established.

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Hanagal, D.D.(1995) Testing reliability in a bivariate exponential stress-strength model,

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Jose, K.K., Ancy Joseph, Ristic, M.M. (2011) Marshall Olkin Weibull Distributions and
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