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Exponential PDF

The exponential distribution describes a continuous random variable with a positive scale parameter α. It has a probability density function of f(x) = (1/α)e-x/α for x > 0. The exponential distribution is often used to model things like time between events or lifetimes that do not statistically age. It has the memoryless property, meaning the probability of an event does not depend on past events. The maximum likelihood estimator of α is the sample mean for a set of independent exponential random variables.

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146 views2 pages

Exponential PDF

The exponential distribution describes a continuous random variable with a positive scale parameter α. It has a probability density function of f(x) = (1/α)e-x/α for x > 0. The exponential distribution is often used to model things like time between events or lifetimes that do not statistically age. It has the memoryless property, meaning the probability of an event does not depend on past events. The maximum likelihood estimator of α is the sample mean for a set of independent exponential random variables.

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Exponential distribution (from http://www.math.wm.edu/˜leemis/chart/UDR/UDR.

html)
The shorthand X ∼ exponential(α) is used to indicate that the random variable X has the exponen-
tial distribution with positive scale parameter α. The exponential distribution can be parameterized
by its mean α with the probability density function
1 −x/α
f (x) = e x > 0,
α
for α > 0. An exponential random variable X can also be parameterized by its rate λ via the
probability density function
f (x) = λe−λx x > 0,
for λ > 0. When the second parameterization is used, the meaning of the rate parameter depends
on the application (for example, failure rate for reliability, arrival rate or service rate for queueing,
recidivism rate in criminal justice). The exponential distribution is used in reliability to model
the lifetime of an object which, in a statistical sense, does not age (for example, a fuse or light
bulb). This property is known as the memoryless property. The exponential distribution is the
only continuous distribution that possesses this property. The only discrete distribution with the
memoryless property is the geometric distribution. The exponential distribution is used in queue-
ing theory to model the times between customer arrivals and the service times. The exponential
distribution is used in survival analysis to model the lifetime of an organism or the survival time
after treatment. The probability density function using the first parametrization with α = 0.5, 1, 2
is illustrated below.

Using the first parameterization, the cumulative distribution function on the support of X is

F(x) = P(X ≤ x) = 1 − e−x/α x > 0.

The survivor function on the support of X is

S(x) = P(X ≥ x) = e−x/α x > 0.

The hazard function on the support of X is

f (x) 1
h(x) = = x > 0.
S(x) α
The cumulative hazard function on the support of X is
x
H(x) = − ln S(x) = x > 0.
α
The inverse distribution function of X is

F −1 (u) = −α ln(1 − u) 0 < u < 1.

1
The median of X is
α ln 2.
The moment generating function of X is
1
M(t) = E etx = (1 − αt)−1
 
t< .
α
The characteristic function of X is
1
φ(t) = E eitX = (1 − α it)−1
 
t< .
α
The population mean, variance, skewness, and kurtosis of X are
" 3 # " 4 #
X − µ X −µ
E[X] = α V [X] = α2 E =2 E = 9.
σ σ

For X1 , X2 , . . . , Xn mutually independent exponential(α) random variables, the maximum likeli-


hood estimator for α is
∑n Xi
α̂ = i = 1 ,
n
which is the sample mean. This is also the method of moments estimator.
APPL verification: The APPL statements

assume(alpha > 0);


X := [[x -> exp(-x / alpha) / alpha], [0, infinity], ["Continuous", "PDF"]];
CDF(X);
SF(X);
HF(X);
CHF(X);
Mean(X);
Variance(X);
Skewness(X);
Kurtosis(X);
MGF(X);

verify the cumulative distribution function, survivor function, hazard function, cumulative hazard
function, population mean, variance, skewness, kurtosis, and moment generating function.

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