Improved estimation of the correlation coefficient in a bivariate exponential distribution

In this paper, we propose two bias-reduced estimators for the correlation coefficient of a bivariate exponential distribution which are improvements on the estimators presented by Al-Saadi and Young (1980). Monte Carlo simulation is used to compare the performance of all the estimators. We also suggest the use of jackknife method in order to reduce the bias of these estimates. The bias and mean square errors of the estimators are simulated for small, moderate and large sample sizes from which we make some recommendations.