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Summary17 Min of RVs PDF
Summary17 Min of RVs PDF
Therefore,
FX (x) = F (x) F (x) = [F (x)]2 .
The density function of X = max{X1 , X2 } can now be found by differentiation, namely
fX (x) =
d
d
FX (x) =
[F (x)]2 = 2F (x)F 0 (x) = 2f (x)F (x).
dx
dx
Distribution of min{X1 , X2 }
Suppose that Y = min{X1 , X2 }. By definition, the distribution function of Y is
FY (y) = P {Y y} = P {min{X1 , X2 } y} .
However, knowing an upper bound on the minimum is not of any use to us. Instead, we
consider
FY (y) = P {Y y} = 1 P {Y > y} = 1 P {min{X1 , X2 } > y} .
This is useful to us since
P {min{X1 , X2 } > y} = P {X1 > y , X2 > y} = P {X1 > y} P {X2 > y}
using the fact that X1 and X2 are independent. However, both X1 and X2 have the same
distribution function F and the same density function f . This means that
Z
Z
f (x) dx.
f (x) dx and P {X2 > y} = 1 F (y) =
P {X1 > y} = 1 F (y) =
y
Therefore,
FY (y) = 1 P {Y > y} = 1 [1 F (y)] [1 F (y)] = 1 [1 F (y)]2 .
The density function of Y = min{X1 , X2 } can now be found by differentiation, namely
fY (y) =
d
d
FY (y) =
1 [1 F (y)]2 = 2[1 F (y)]F 0 (y) = 2f (y)[1 F (y)].
dy
dy
Example. Suppose that X1 and X2 are independent random variables each having the
Exp() distribution. Determine the density functions of max{X1 , X2 }, and min{X1 , X2 }.
Solution. Since X1 and X2 are iid Exp() random variables, they have common density
function f (x) = ex , x 0, and common distribution functions
(
0,
x < 0,
F (x) =
x
1 e , x 0.
Thus, the density function of X = max{X1 , X2 } is
fX (x) = 2ex [1 ex ]
for x 0, and the density function of Y = min{X1 , X2 } is
fY (y) = 2e2y
for y 0. Note that we recognize the distribution of Y as Y Exp(2).