Biometrika Trust

A New Method for Adding a Parameter to a Family of Distributions with Application to the
Exponential and Weibull Families
Author(s): Albert W. Marshall and Ingram Olkin
Source: Biometrika, Vol. 84, No. 3 (Sep., 1997), pp. 641-652
Published by: Biometrika Trust
Stable URL: http://www.jstor.org/stable/2337585 .
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Biometrika (1997), 84, 3,pp. 641-652
Printedin GreatBritain

A newmethodforaddinga parameterto a family

withapplicationto theexponential
ofdistributions and
Weibullfamilies
BY ALBERT W. MARSHALL
2781 WestShoreDrive,LummiIsland,Washington
98262, U.S.A.

AND INGRAM OLKIN

ofStatistics,StanfordUniversity,
Department California94305-4065,U.S.A.
Stanford,
e-mail:iolkin@stat.stanford.edu

SUMMARY
A newway ofintroducing a parameterto expanda familyofdistributions is introduced
and appliedto yielda new two-parameter extensionoftheexponentialdistribution which
may serveas a competitorto such commonly-used two-parameter familiesof lifedistri-
butions as the Weibull,gamma and lognormaldistributions. In addition,the general
methodis appliedto yielda new three-parameter Weibull distribution.
Familiesexpanded
using the methodintroducedhere have the propertythat the minimumof a geometric
numberof independentrandomvariableswithcommondistribution in the familyhas a
distributionagain in the family.Bivariateversionsare also considered.
Some key words:Bivariategeometricdistribution;Copula; Geometricextremestability;Life distribution;
Parametricfamily.

1. INTRODUCTION
Exponentialdistributions play a centralrole in analysesoflifetimeor survivaldata, in
partbecause oftheirconvenientstatisticaltheory,theirimportant'lack ofmemory'prop-
ertyand theirconstanthazard rates.In circumstances wheretheone-parameter familyof
exponentialdistributions broad,a numberofwiderfamiliessuch as the
is not sufficiently
gamma,Weibulland Gompertz-Makehamdistributions are in commonuse; thesefamilies
and theirusefulnessare describedby Cox & Oakes (1984, pp. 18, 19); more complete
treatments of each distributionare givenby Johnson,Kotz & Balakrishnan(1994).
By various methods,new parameterscan be introducedto expand familiesof distri-
butionsfor added flexibility or to constructcovariatemodels. Introductionof a scale
parameterleads to the acceleratedlifemodel,and takingpowersof the survivalfunction
introducesa parameterthatleads to the proportionalhazards model. For instance,the
familyofWeibulldistributions (Weibull,1951) containstheexponentialdistributions and
is constructedby takingpowersofexponentially distributedrandomvariables.The family
ofgammadistributions also containstheexponentialdistributions, and is constructedby
takingpowersof the Laplace transform.
In this paper, another general method of introducinga parameterinto a family
of distributionsis discussed. In particular,startingwith a survival functionF, the

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642 ALBERT W. MARSHALL AND INGRAM OLKIN

familyof survivalfunctions
one-parameter
_(x;cx)= aoF(x)_ oF(x)
1 - F(x) F(x) + oF(x)
wherec = 1 -cx, is proposedand discussedin ? 2. Note that,when cx= 1, G = F.
The particularcase thatF is an exponentialdistribution yieldsa new two-parameter
familyofdistributions whichmay sometimesbe a competitorto theWeibulland gamma
families.This extendedfamilyis discussedin ? 3. The methodis also used to obtain a
three-parameter versionof the Weibullfamilyin ? 4.
All thecommonly-used methodsofintroducing an additionalparameterhave a stability
property: ifthemethodis appliedtwice,nothingnewis obtainedthesecondtimearound.
Thus, a power of an exponentialrandom variable has a Weibull distribution, but the
power of a Weibullrandomvariableis just anotherWeibullrandomvariable.Similarly,
if,in (1-1), a survivalfunctionof formG is introducedforF, then(1-1) yieldsnothing
new. This stabilitypropertyand the derivationof (1-1) is discussedin ? 5. Section 6
considersbivariateversions.

2. DENSITY AND HAZARD RATE OF THE NEW FAMILY

WheneverF has a density, thesurvivalfunctionsG givenby (1-1) have easily-computed

densities.In particular,ifF has a densityf and hazard rate rF, thenG has the densityg
givenby

g(x; at) 4Y(x)

acf(x) 25(2.1)

and hazard rate

r(x; t) {-F(x)} F() (< ) (22)

Thus
lim r(x; cc)= lim rF(x)/c, lim r(x; c) = lim rF(x).

It followsfrom(2-2) that
rF(x)/1c < r(x; c) < rF(x) (-o < x < 00, o 1>), (2.3a)
rF(x) < r(x; oc) < rF(x)/c (-oo < x < so, O < oc< 1), (2.3b)
F(x) < G(x,o) <F 1(x) (-oo < x < oo, 1), (2.4a)
P/'a(x)<, G(x,oc)<, F(x) (oo < x < so, O <Loc 1). (2.4b)
Note also from(2-2) thatr(x, oc)/rF(x) is increasingin x for cx> 1 and decreasingin x for
0< oc 1.
When F(O) = 0, the hazard rate r(0; cc) at the originbehaves quite differently than it
does fortheWeibullor gammadistributions; forboth thosefamilies,thedistribution can
be an exponential distribution,or r(0) = 0, or r(O) = so, so that r(O) is discontinuous in
the shape parameter.Such is not the case withthe familyhavinghazard rates(2-2), so
the familymay be usefulto 'finetune' the distribution F. However,in spiteof (2-3) and
(2 4), it need not be thatF and G are at all similar.

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 Addinga parameterto a familyofdistributions 643
3. A NEW FAMILY CONTAINING THE EXPONENTIAL DISTRIBUTIONS

When F(x) = exp(- 1x), the two-parameter

family
_ ~~~~1
G(x;oc,2 Atx_ (x > O, il> O, oc> ) (3.1)

is obtained from(141). The case oc= 1 is the exponentialdistribution.For oc 1, this

distributionis the conditionaldistribution, givenZ > 0, of a randomvariableZ withthe
logisticsurvivalfunctionP(Z > z) = o/(1- ce`z) for - oo < z < oo.
As special cases of (241) and (2 2), it followsthat G has the densityg givenby
cxte- ix xe-x
a,
)X g-i, (ex_) (> O,2> 0, t> 0),

and hazard rate

r(x; o, l) = 1- ,e = - ) > O,oc> O).

(x > O,

Note thatr(x; 1, l)= l, thatr(x; oc,l) is decreasingin x for0 <ca < 1, and thatr(x; oc,l)is
increasingin x foroc 1.
From (2-3) and (2-4) it followsthat
Fl/oar(x;oc,il)< (-soo< x< oo,oc1)
l< r(x;oc,l<F/oe (-xo < x< o, 0< o < 1),
K-,
G(x;oc
,) e -( il-o < x < oo,ocl, ), (3.2a)
e-xI .-G(x; cx,)<)e`x (-oo<x<oo,O<ocx 1). (3.2b)
withan increasing(decreasing)hazard rate are 'new better(worse)
Since distributions
thanused' (Barlow & Proschan,1975,p. 159),it followsthat,whenX has thedistribution
G, the conditionalsurvivalfunctionsatisfies
< pr(X > t) (t > 1),
pr(X>x+ IX>x)

PROPOSITION 341. Thefunction 0 <ca < 1 andconcaveforoc> 1.

logg(.; oc,l)is convexfor
This resultis readilyverified logg(x; oc,l) withrespectto x. Of course,
by differentiating
thismeans that,foroc< 1,g is decreasingand, foroc> 1, g(.; oc,Fl)is unimodal,with

mode(X)~~ {;-'
modeX) (x?2),
log(oc-1) (Lx
> 2).

It followsfrom(3 2) thatG has finitemomentsof all positiveorders.Directcomputation

shows that,ifX has distributionG, then
_ Xlog LX
E(X) = - (3-3)

Note thatthisquantityis alwayspositive.More generally,

Is00 ~ ~ r~ yr -1
E(Xr) = Xr- -x dx=
(3d4) -dy,

which,forr= 1, yields(3 3).

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644 ALBERT W. MARSHALL AND INGRAM OLKIN

ofg is givenby
The Laplace transform

E(e
sx)=
J 0 {OCyS/(1oy)2}
dy.

(3'5)
serieswhenI(j < 1. Then,theintegrands
Both (3 4) and (3 5) can be expressedas infinite
of (3 4) and (3 5) can be expanded in a power seriesand the resultintegratedtermby
termto yield
I
E(Xr)= - xrle-x , cie-ixdx= ra aJF(r) (3I6)

E(&esx) =xJ s E (i +1)Y5Jc dy= a (Io j)

A numericalevaluationof the variance,withthe scale parameter)A= 1, as a functionof

ocis providedin Fig. 1.

3-

var(x) 2 /1

0 20 40 60 80 100

Fig.1. Variance ofa forA= 1.

ofX as a function

As a consequenceof Proposition341,total positivity propertiesyieldmomentinequal-

ities which are not true in general(Karlin, Proschan & Barlow, 1961). In particular,
thecoefficient is less than 1 forocx>1 and is greaterthan 1 forcx< 1: here,
ofvariationcr/1u
laand is the expectationof X.
A2 iS the variance
It is straightforward
to show thatthe qth quantilexq of G is givenby
1
(X)+cxq\
x =-.logg 2*)
It is easy to see thatmed(X), mode(X) and E(X)
In particular,med(X) = {log(1 + cx)}/L.
are a incre ncand decreasingin the scale parameter . From themonotonicity of
log x and thefactthatlogx x-1i (x > 0), it followsthat
? E(X),
mode(X) < med(X)< cc/).
but noticethatlim mode(X)/E(X)
it = 1.
IfE(X) is fixed,sayE(X) = 1,thentheweaklimitofG as tends i to infinity
is degenerate
at 1,and thelimitas octendsto 0 is degenerateat 0. Noticealso that
limdX,mc, r(x; a 2) = is
bounded and continuousin the parameters, like the gamma distribution but unlikethe
Weibulldistribution.

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 Addinga parameterto a familyofdistributions 645
4. EXTENDED WEIBULL DISTRIBUTIONS
When
F(x) = exp{-(;x)} (x O, , > O) (4.1)
is a Weibullsurvivalfunction,
then(141)yieldsthenew three-parameter
survivalfunction
a exp{ - (~x)fl}
G(x; , A 1-- exp{-(Ax):} (4 2)

This geometric-extreme
stableextensionof the Weibulldistribution
may sometimesbe a
competitorto themoreusual three-parameter
Weibulldistributionwithsurvivalfunction
F(x; ip) = exp -S(x - 6)1f (x > ; Fl,> O,- < 6< so).
If X has an exponentialdistributionwithparameter1, thenXl"/:/;has the survival
function(441). Similarly,if X has the survivalfunction(3.1) withF = 1, thenXl"f/1l
has
thesurvivalfunction(4 2). As a result,momentsof(4 2) can be obtainedfromnoninteger
momentsof (341). Thus, from(3 6), it followsthat,if X has the survivalfunction(4 2),
then

E(Xs) = A ( K'1).
F)sZO(/,) (1?C1 (4-3)

WhenICxI> 1, themoments can be obtainedfrom(3 4) withthesamechangeofvariable

used above to obtain(4 3). However,thosemomentscannotbe givenin closedform;thus,
even thefirstmomentof (4-2) mustbe obtainednumerically. By writing

E(Xs)= sxs 1F(x)dx (s> O),

it can be shown that limfl, E(XS) = (s > 0). Of course, these are just the moments of
,-s
a randomvariabledegenerateat 1/l. For Sl= 1, Table 1 showsvalues of thefirstmoment
forvariouscombinationsof, and ox.

Table 1. ExpectedvaluesofX whenSl= 1

a 02 03 04 05 06 07 08 09 2 5 10 100
02 247 205 081 054 045 041 040 040 052 072 084 098
05 610 490 184 116 092 080 074 071 071 084 091 099
10 120 926 332 2.0 150 127 113 105 089 092 095 099
15 177 133 461 269 197 162 142 130 099 097 098 100
2 233 170 576 329 2 36 191 166 150 107 100 099 100
10 1014 611 175 878 568 422 341 290 152 116 108 101
20 1828 99 3 264 125 774 556 437 364 171 122 110 101

The densityand hazard rate of the distribution givenby (4-2) can be obtaineddirectly
from(241) and (2 2). In particular,thehazard rateis
r(x; oc,Fl,,B)= ,#(,lx)l- '/[1 - Cexp {-(x)l}].
This functionis graphedin Fig. 2. It can be verifiedusingelementarycalculus thatthis
hazard rate is increasingif oc 1, /3> 1 and decreasingif oc< 1, /3
? 1. If /3> 1, thenthe
hazard rateis initiallyincreasingand eventuallyincreasing,but theremaybe one interval

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646 ALBERT W. MARSHALL AND INGRAM OLKIN

(a) #=0-5 (b) #=1

3 3-

r(x) x=005 r(x) -

O- oc=5 , 0~~~~~~-ocl
,
0 1 2 3 0 1 2 3 4 5
x x

(c) ,B=2
6

r(x)
2

0 1 2 3
x

Fig.2. The hazard rate r: (a) withA=1, ,B=05, oa=0-05, 05, 1, 2, 5; (b) withA=1, ,B=1, a= 005, 05, 1,
2, 5; and (c) withA= 1, B= 2, a = 005,01
01, O5, 1, 2, 5.

whereit is decreasing.Similarly,
if,B< 1, thenthe hazard rate is initiallydecreasingand
eventuallydecreasing,but theremaybe one intervalwhereit is increasing;here,theslope
changesare subtleand hard to see graphically.

5. GEOMETRIC-EXTREME STABILITY
5 1. General
IfX1,X2,... is a sequenceofindependentidenticallydistributed randomvariableswith
distribution on {1, 2, ... }, then
in the family(1 1), and ifN has a geometricdistribution
min(X1,... , XN) and max(X1,... , XN) have distributionsin the family.To understand
why this propertymay be of interest,recall that extreme value distributionsare limiting
distributionsforextrema,and as such theyare sometimesusefulapproximations. In prac-
tice,a randomvariableof interestmay be the extremeof onlya finite,possiblyrandom,
numberN ofrandomvariables.WhenN has a geometricdistribution, therandomvariable
has a particularly nice stabilityproperty, not unlikethatof extremevalue distributions.
Suppose that N is independentof the Xi's witha geometric(p) distribution, that is,
pr(N = n) = (1 _p)n-lp (n = 1,2, .. .), and let

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 Addinga parameterto afamilyofdistributions 647
DEFINITION. If F E Y impliesthatthedistribution of U (V) is in Y, thenF is said to
be geometric-minimumstable(geometric-maximum stable).If YF is bothgeometric-minimum
and geometric-maximum stable,thenYZ is said to be geometric-extreme stable.
The term'max-geometric stable'has alreadybeen used by Rachev & Resnick(1991) to
describea relatedbut more restrictedconcept.They apply the termnot to familiesof
distributions in theirsense,a distribution
butto individualdistributions; is 'max-geometric
stable'ifthe location-scaleparameterfamilygeneratedby the distribution is geometric-
max stablein our sense.The two ideas essentiallycoincideforfamiliesF thatare param-
eterisedby location and scale. Most of the familiesconsideredin thispaper are not of
thatform,a notableexceptionbeingthe logisticdistribution.
Example. The familyof logisticdistributions,
withsurvivalfunctionsof theform
_1
F(x) = -Oesx
< x < so, t?i > O)

is a geometric-extreme in thisfamilyare geometric-

stable family;indeed,distributions
extremestableeven in the sense of Rachev & Resnick(1991). The factthatthisfamilyis
geometric-minimum stablewas utilisedbyArnold(1989) to constructa stationaryprocess
withlogisticmarginals.
For the randomvariable U of (5 1),

G(x)= P(U> x)=E F'(x) ( 1 - p)n- lp

n1

1- (1- p)F(x)
PROPOSITION 5 1. The parametric of theform(5 2) is geometric-
familyof distributions
minimum
stable.
Proof. If Y1,Y2,... is a sequence of independentrandom variableswith a common
distributionG given by (5 2) and if M is independentof the Yi's witha geometric(q)
distribution,then U = min(Y1,. . ., YM)has a distributionof the form(5 2) but withp
replacedby pq. To see this,write
Yi= min(Xil,... ., XiNj) (i = 1,2, .. .)
F and Ni all
wherethe Xij and Ni are all independent,all the Xij have the distribution
have a geometric(p) distribution.
Then

min(Yj,. .., YM)=min(Xjj, . .., X1Nj, X21, . , X2N2, -, XM1, ,XMNM)-

9

the Xij,
By re-indexing
U = min(Yl,. . ., YM)= min(Xl, X2,. . . , XN .NM)
+

It is well known that N1 + . . . + NM has a geometric(pq) distribution;this fact is a direct

applicationof a theoremconcerninggeneratingfunctionsgivenby Feller(1968, p. 287).
From this,it is immediatethat U has the survivalfunction(5.2) withpq in place ofp.

For therandomvariableV,also definedin (5 1), argumentssimilarto thoseused above

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648 ALBERT W. MARSHALL AND INGRAM OLKIN

show that

1G
p)F(x)
H(x):=P(VA x) =1-(l-p)F(x) (-cc<x<oo),
so that

(x) = p+(1-p)F(x) -
( oo<x<o0). (5'3)

familygivenby (5 3) is geometric-maximum
PROPOSITION 5-2. The parametric stable.
This resulthas a proofsimilarto thatof Proposition51.
The familiesgivenby (5-2) and (5-3) combinenicelyto forma singleparametricfamily
t=?(F)= {G(.; a), x>0},
whereG is givenby (11); in (5-2),0 <c = p < 1, and,in (5-3),oc= l/p> 1. Note that
G(x; 1) = F(x), so F E-; increasingin cX.
it is clear that G(.; oc)is stochastically
further,
PROPOSITION ! ofdistributions
5-3. Theparametricfamily (11) is geometric-
oftheform
extremestable.
to verifyclosureof fi undera kind of
Proof. To verifyProposition5 3, it is sufficient
composition, as follows. Suppose that H(x) = dG(x; cx)/{I- (1 - 4)G(x;cx)},where G(x; cx)
is givenby (5 3). Then
H(x) = 4aF(x)/{1 - (1 -4a)F(x)}.
This showsthatH E C, and,consequently, and geometric-
? has bothgeometric-maximum
minimumstability. DG
The proofof Proposition5 3 also showsthat,ifF is replacedby any otherdistribution
in C, then that distributionwill also generate 9.
A numberof factsconcerninggeometric-extreme stable familiesare evidentand may
be worth noting: the same propertieshold for geometric-minimum and geometric-
maximumstablefamilies.
(i) If .F and F2 are geometric-extremestable families,then E U .2 and F fln 2 are
geometric-extreme stablefamilies;the emptyset is vacuouslysuch a family.
(ii) Every distributionF determinesa geometric-extreme stable family Y(F). If
=
G E .(F), then F(G) ~FF). Thus the minimalgeometric-extreme stablefamiliesform
a partitionoftheset ofall distributions into a set ofequivalenceclasses.Here,a minimal
geometric-extreme stable familyis a familywhichis nonemptyand has no nonempty
geometric-extreme stablesubfamily.
(iii) If F and G differonlyby a scale (location) parameter,then (G) can be obtained
from(F) by a commonscale (location) change.
(iv) Suppose thatF E F impliesthatF(O) > 0, and defineF+ by

F, (x) = fl (xO)
{{F(x)}/{F(0)} (x > 0}.
If F is geometric-extremestable,then {F+ : F E .F } is geometric-extreme
stable.
(v) Let F be a familyof distribution
functions, and let
11 {G: G(x)
= = F0(x -b ) forsome F in Y }.

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 Addinga parameterto afamilyofdistributions 649
If E is geometric-extreme stable forall 0 > 0 and
stable,then Fo ,, is geometric-extreme
all real 6.

5 2. Whythegeometric distribution?
The geometric-extreme stabilitypropertyof ? = V(F) is ratherremarkable,and it
dependsupon the factthat a geometricsum of independentidenticallydistributedgeo-
metricrandomvariableshas a geometricdistribution. This partiallyexplainswhyrandom-
minimumstabilitycannot be expectedif the geometricdistribution is replacedby some
otherdistribution on {1, 2,.. . }. Thus,iftheabove developmentis repeated,e.g. withthe
assumptionthatN - 1 has a Poisson distribution, then ? would be replacedby a family
thatwould not be Poisson-extreme stable.
If F is a distributionfunctionand
00

G(x; 0):= E Fn(X)Pn(0)

has thestability thenthediscretedistribution

property mustsatisfy
thefunctional
equation
o o00 n 00
E i E
n=l m=1
(0,
zmp =
Pn(LI) E ZnMO(
n=1
(? -<, <

conditions,the only solutionto thisequation is the geometric

Under certainregularity
distribution.

6. THE BIVARIATE CASE

6 1. General
The methodused to constructthe families(5 2) and (5 3) also lends itselfwell to the
construction Let (X1, Y1),(X2, Y2),. . . be a sequenceofindepen-
ofbivariatedistributions.
dentand identically distributedrandomvectorswithjointdistribution F havingmarginals
F1 and F2. Let N, and N2 have geometricdistributions, and suppose that(N1,N2) and
the (Xi, Yi) are independent.The developmentof ? 5 suggestsconsiderationof thejoint
distribution of
U1 = min(X1, .. . , XN1), U2 = min(Yl, . . ., YN2),

or thejoint distribution
of
V, = max(Xl,... XN,), V2 = max (Yl,**, YN2).

These modelsare reminiscent ofa similarmodel wheresumsare used in place ofmaxima

or minima(Downton, 1970; Hawkes, 1972; Arnold,1989).
In the following,
the distributionof (Nl, N2) is assumedto be of theform
n-1 n2-n-1

pr(N1= n1,N2= n2)= p polp2+ 1 pl1+ (n1> n2),

n-1
(n, = n2=
Poo Pitin=n=) n),

wheretheparameterspij are nonnegativeand add to one and

Poo+Poi =Po+, Poo+P1o=P+o, Po +P11 =P+1, Po+Ptt =P+;
see e.g. Arnold(1975) or Marshall & 01kin (1985).

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650 ALBERT W. MARSHALL AND INGRAM OLKIN

It is straightforward
to verifythat(U1, U2) have thejoint survivalfunction
_ F(x,y) fpp1F1 (x) p1op+tF()1
G(x,y) =Poi (x,y ) F (x)+P11+ 2p+F-(y)' (6.1)
and (V1,V2)have thejoint distribution
function
Po Pi 2(Y)
H(x, Y) = FY lp0+ F1() +P11 + (6 2)

Here, G and H have marginals

Pi +F1(x) _ p+1F()
G1(X)= l-p F-(x)' 2(Y)- p F2(y)' (63)
H2(Y) = )
H1(x) = 1
1 -po+1(xJ 1 -
F1(x) p+0F2(Y)'
1_2_Y_
In contrastto the univariatecase, the two distributions(6 1) and (6 2) do not combine
nicelyto forma singleparametricfamily.Moreover,thefamiliesofsuch distributions are
not closed undertheformation of minima or maxima.Thus, the cohesive ofthe
structure
univariatecase does not carryover to the generalbivariatecase.

6 2. The specialcase N1 = N2
Suppose N1 = N2 = N (Pot= Plo = 0). With the notationPlt = p, Poo= 1 - p, G and H
are

) = pF(x,y)
G(x, Hxy-pF(x, y)
G(x,y)=- F(y) H(x, Y) 1 F(y)
Still,thesespecial cases of (6 1) and (6 2) do not combineto forma singleparametric
family, but theyare closed underminimaand maxima,respectively. That is, ifG* has the
formof G but withG in place of F, thenG* has the form(6 3) in termsof F, but witha
new parameterp. A similarcommentapplies to H.

6 3. Underlyingcopulas
The bivariatedistributionF can be writtenin theformF(x, y)= K(Ft(x), F2(y)),where
withuniformmarginals.In thiscontext,K is called a copula
K is a bivariatedistribution
or dependencefunctionof F (Genest,Ghoudi & Rivest,1995). The functionK* defined
by
K*(u, v)= u + v- 1 + K(1 - u, 1 - v)=K(1 - u, 1 - v)
is sometimescalledthedual ofK; itis easilycheckedthatK* is also a bivariatedistribution
withuniformmarginalsand, moreover,F(x, y) = K*(Fi(x), F2(y)).
G definedby (61) and let K be the copula of F.
Let C be a copula of the distribution
Straightforward calculationsshow thatthe dual C* of C, forwhich
G(x,y)= C*(Gl(x), G2(y)),
is givenby
K(u/(p1+ + po+ u), V/(p+1 + p+ov))
v) 1- 1up10v)
C*(u,~~ n K(u/(n1+ +Pn0+u)v/(Pn+1i+0)(t
+n

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 Addinga parameterto afamilyofdistributions 651
Similarcalculationsshow that C* is also the copula, not the dual copula, of H given
by (6 2).
Several special cases are of interest:if Pot = Plo = 0, Pit = P,

C*(x, ) _ pK(x/(p + Fx), y/(p+ Fy))

+ FX),Y/(P+ FY))
1 - WK(x/(p
if K(u, v) = uv,then

C*(x,y)= Xy(pP1+ Po0X+ PloY)

(Pi+ + po+x)(p+t + p+oy)-pooxy
if both K(u, v) = uv and Pot = Pto =, Ptt= p, then

C*(x, Y) = xy

This is the copula of Ali, Mikhail & Haq (1978), exceptthat theyhave a parameterin
place ofp thatcan take any value in the interval[-1, 1]. For anotherderivationof this
copula see Marshall& Olkin (1988).

ACKNOWLEDGEMENT
AlbertW. Marshall was supportedin part by the National Science Foundation and
by the Natural Science and EngineeringResearch Council of Canada. Ingram Olkin
was supportedin part by the National Science Foundation.The graphsin thispaper as
well as othernumericalresultswereobtainedforus by JianAn, Keith Greggand Eddie
Hak-singIp; forthisworkwe are indeedgrateful.

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652 ALBERT W. MARSHALL AND INGRAM OLKIN
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[ReceivedDecember1994.RevisedOctober1996]

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