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A bivariate F distribution with marginals on arbitrary numerator and denominator degrees of freedom, and related bivariate beta and t distributions A.H. El-Bassiounya M.C. Jonesb a King Saud University, Saudi Arabia b The Open University, UK Abstract The classical bivariate F distribution arises from ratios of chi-squared random variables with common denominators. A consequent disadvantage is that its univariate F marginal distributions have one degree of freedom parameter in common. In this paper, we add a further independent chi- squared random variable to the denominator of one of the ratios and explore the extended bivariate F distribution, with marginals on arbitrary degrees of freedom, that results. Transformations linking F , beta and skew t distri- butions are then applied componentwise to produce bivariate beta and skew t distributions which also afford marginal (beta and skew t) distributions with arbitrary parameter values. We explore a variety of properties of these distributions and give an example of a potential application of the bivariate beta distribution in Bayesian analysis. Keywords: Chi-squared distribution; Positive dependence; Transformation 1 1. Introduction Let X , i = 1, 2, 3, be independent chi-squared random variables with de- i grees of freedom (d.f.) ni 0, i = 1, 2, 3. The usual bivariate F distribution (e.g. Johnson Kotz, 1972, Chapter 40, Sections 7 and 8, Hutchinson Lai, 1990, Section 6.3) is the joint distribution of n X n X F ′ = 3 1 and F ′ = 3 2 . (1) 1 n X 2 n X