Exponential Distribution

BY DR. GARGI TYAGI

 Exponential Distribution

A random variable 𝑋 is said to have an exponential

distribution with parameter 𝜆 > 0; if its p.d.f. is given by:
𝜆𝑒 −𝜆𝑥 ; 𝑥≥0
𝑓 𝑥; 𝜆 = ቊ
0 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒

The cumulative distribution function is given by

0 𝑥≤0
𝐹 𝑥 =ቊ
1 − 𝑒 −𝜆𝑥 𝑥 ≥ 0
 Exponential Distribution
Moment Generating Function
−𝟏
𝒕
𝑴𝑿 𝒕 = 𝑬 𝒆𝒕𝑿 = 𝟏−
𝝀
 Exponential Distribution
Moments
𝑡𝑟 𝑟!
𝜇𝑟′ = 𝐸 𝑋 𝑟 = coefficient of in 𝑀𝑋 𝑡 = 𝑟
𝑟! 𝜆
 Exponential Distribution
Memory less property

Let 𝑋 ∼ 𝐸𝑥𝑝 𝜆 and 𝑌 = 𝑋 − 𝑎

𝑃 𝑌 ≤ 𝑥 𝑋 ≥ 𝑎 = 𝑃[𝑋 ≤ 𝑥] for all 𝑎 ≥ 0
 Exponential Distribution
A theorem

If 𝑋1 , 𝑋2 , … 𝑋𝑛 are independent random variables,

𝑋𝑖 ∼ 𝐸𝑥𝑝 𝜆𝑖 , 𝑖 = 1,2, … 𝑛.
Then 𝑍 = min 𝑋1 , 𝑋2 , … 𝑋𝑛 ∼ 𝐸𝑥𝑝 σ𝑛𝑖=1 𝜆𝑖 .
Example Exponential Distribution
Thank You
BY DR. GARGI TYAGI