CDF of a ratio of exponential variables
$begingroup$
Let $X$ and $Y$ be independent exponential variables with rates $alpha$ and $beta$, respectively. Find the CDF of $X/Y$.
I tried out the problem, and wanted to check to see if my answer of: $frac{alpha}{ beta/t + alpha}$ is correct, where $t$ is the time, which we need in our final answer since we need a cdf.
Can someone verify if this is correct?
statistics probability-distributions
$endgroup$
add a comment |
$begingroup$
Let $X$ and $Y$ be independent exponential variables with rates $alpha$ and $beta$, respectively. Find the CDF of $X/Y$.
I tried out the problem, and wanted to check to see if my answer of: $frac{alpha}{ beta/t + alpha}$ is correct, where $t$ is the time, which we need in our final answer since we need a cdf.
Can someone verify if this is correct?
statistics probability-distributions
$endgroup$
add a comment |
$begingroup$
Let $X$ and $Y$ be independent exponential variables with rates $alpha$ and $beta$, respectively. Find the CDF of $X/Y$.
I tried out the problem, and wanted to check to see if my answer of: $frac{alpha}{ beta/t + alpha}$ is correct, where $t$ is the time, which we need in our final answer since we need a cdf.
Can someone verify if this is correct?
statistics probability-distributions
$endgroup$
Let $X$ and $Y$ be independent exponential variables with rates $alpha$ and $beta$, respectively. Find the CDF of $X/Y$.
I tried out the problem, and wanted to check to see if my answer of: $frac{alpha}{ beta/t + alpha}$ is correct, where $t$ is the time, which we need in our final answer since we need a cdf.
Can someone verify if this is correct?
statistics probability-distributions
statistics probability-distributions
edited Jan 29 '12 at 0:04
Srivatsan
20.9k371125
20.9k371125
asked Apr 19 '11 at 4:50
marymary
48921448
48921448
add a comment |
add a comment |
3 Answers
3
active
oldest
votes
$begingroup$
Recall one of the most important characterizations of the exponential distribution:
The random variable $Y$ is exponentially distributed with rate $beta$ if and only if $P(Ygeqslant y)=mathrm{e}^{-beta y}$ for every $ygeqslant0$.
Let $Z=X/Y$ and $tgt0$. Conditioning on $X$ and applying our characterization to $y=X/t$, one gets
$$
P(Zleqslant t)=P(Ygeqslant X/t)=E(mathrm{e}^{-beta X/t}).
$$
Now, the density of the distribution of $X$ is $alphamathrm{e}^{-alpha x}$ on $xgeqslant0$, hence for every $gammageqslant0$,
$$
E(mathrm{e}^{-gamma X})=int_0^{+infty}alphamathrm{e}^{-(alpha+gamma) x}mathrm{d}x=frac{alpha}{alpha+gamma}left[-mathrm{e}^{-(alpha+gamma) x}right]_{0}^{+infty}=frac{alpha}{alpha+gamma}.
$$
Substituting $gamma=beta/t$ yields the formula.
$endgroup$
$begingroup$
What is the probability distribution function?
$endgroup$
– user
Mar 11 '14 at 4:37
4
$begingroup$
@user How to deduce the PDF from the CDF? Tell me...
$endgroup$
– Did
Mar 11 '14 at 6:34
$begingroup$
@Did how did you arrive to $P(Ygeqslant X/t)=E(mathrm{e}^{-beta X/t})$. How is the probability and expectation related?
$endgroup$
– user35443
Nov 1 '18 at 13:57
$begingroup$
@user35443 For every $xgeqslant0$, $P(Ygeqslant x/t)=e^{-beta x/t}$. Now, $X$ is independent of $Y$ hence $P(Ygeqslant X/tmid X)=e^{-beta X/t}$ almost surely. Finally, take expectations on both sides.
$endgroup$
– Did
Nov 3 '18 at 14:56
$begingroup$
Makes sense, thanks!
$endgroup$
– user35443
Nov 4 '18 at 18:18
add a comment |
$begingroup$
Here's a slightly different point of view.
begin{align}
Prleft( frac X Y ge t right) & = iintlimits_{{,(x,y),:, x,ge,ty,ge,0 ,}} e^{-alpha x} e^{-beta y} (alphabeta,d(x,y)) \[10pt]
& = int_0^infty left( int_{ty}^infty e^{-alpha x} (alpha,dx) right) e^{-beta y} (beta,dy) \[10pt]
& = int_0^infty (e^{-alpha ty}) e^{-beta y} (beta,dy) \[10pt]
& = beta int_0^infty e^{-(alpha t+beta)y} , dy = frac beta {alpha t + beta}.
end{align}
This is $1$ minus the c.d.f. Find the c.d.f. and differentiate to get the p.d.f. on the interval $tge0.$
$endgroup$
add a comment |
$begingroup$
This is correct. I did the calculation and got the same answer.
$endgroup$
$begingroup$
Did you use u-substitutions, a lot of them?
$endgroup$
– mary
Apr 19 '11 at 5:02
$begingroup$
No, I used Mathematica :) If you do it by hand and you are not familiar with $int alpha e^{-alpha x} dx$ you might need a lot of substitutions.
$endgroup$
– GWu
Apr 19 '11 at 5:03
add a comment |
Your Answer
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3 Answers
3
active
oldest
votes
3 Answers
3
active
oldest
votes
active
oldest
votes
active
oldest
votes
$begingroup$
Recall one of the most important characterizations of the exponential distribution:
The random variable $Y$ is exponentially distributed with rate $beta$ if and only if $P(Ygeqslant y)=mathrm{e}^{-beta y}$ for every $ygeqslant0$.
Let $Z=X/Y$ and $tgt0$. Conditioning on $X$ and applying our characterization to $y=X/t$, one gets
$$
P(Zleqslant t)=P(Ygeqslant X/t)=E(mathrm{e}^{-beta X/t}).
$$
Now, the density of the distribution of $X$ is $alphamathrm{e}^{-alpha x}$ on $xgeqslant0$, hence for every $gammageqslant0$,
$$
E(mathrm{e}^{-gamma X})=int_0^{+infty}alphamathrm{e}^{-(alpha+gamma) x}mathrm{d}x=frac{alpha}{alpha+gamma}left[-mathrm{e}^{-(alpha+gamma) x}right]_{0}^{+infty}=frac{alpha}{alpha+gamma}.
$$
Substituting $gamma=beta/t$ yields the formula.
$endgroup$
$begingroup$
What is the probability distribution function?
$endgroup$
– user
Mar 11 '14 at 4:37
4
$begingroup$
@user How to deduce the PDF from the CDF? Tell me...
$endgroup$
– Did
Mar 11 '14 at 6:34
$begingroup$
@Did how did you arrive to $P(Ygeqslant X/t)=E(mathrm{e}^{-beta X/t})$. How is the probability and expectation related?
$endgroup$
– user35443
Nov 1 '18 at 13:57
$begingroup$
@user35443 For every $xgeqslant0$, $P(Ygeqslant x/t)=e^{-beta x/t}$. Now, $X$ is independent of $Y$ hence $P(Ygeqslant X/tmid X)=e^{-beta X/t}$ almost surely. Finally, take expectations on both sides.
$endgroup$
– Did
Nov 3 '18 at 14:56
$begingroup$
Makes sense, thanks!
$endgroup$
– user35443
Nov 4 '18 at 18:18
add a comment |
$begingroup$
Recall one of the most important characterizations of the exponential distribution:
The random variable $Y$ is exponentially distributed with rate $beta$ if and only if $P(Ygeqslant y)=mathrm{e}^{-beta y}$ for every $ygeqslant0$.
Let $Z=X/Y$ and $tgt0$. Conditioning on $X$ and applying our characterization to $y=X/t$, one gets
$$
P(Zleqslant t)=P(Ygeqslant X/t)=E(mathrm{e}^{-beta X/t}).
$$
Now, the density of the distribution of $X$ is $alphamathrm{e}^{-alpha x}$ on $xgeqslant0$, hence for every $gammageqslant0$,
$$
E(mathrm{e}^{-gamma X})=int_0^{+infty}alphamathrm{e}^{-(alpha+gamma) x}mathrm{d}x=frac{alpha}{alpha+gamma}left[-mathrm{e}^{-(alpha+gamma) x}right]_{0}^{+infty}=frac{alpha}{alpha+gamma}.
$$
Substituting $gamma=beta/t$ yields the formula.
$endgroup$
$begingroup$
What is the probability distribution function?
$endgroup$
– user
Mar 11 '14 at 4:37
4
$begingroup$
@user How to deduce the PDF from the CDF? Tell me...
$endgroup$
– Did
Mar 11 '14 at 6:34
$begingroup$
@Did how did you arrive to $P(Ygeqslant X/t)=E(mathrm{e}^{-beta X/t})$. How is the probability and expectation related?
$endgroup$
– user35443
Nov 1 '18 at 13:57
$begingroup$
@user35443 For every $xgeqslant0$, $P(Ygeqslant x/t)=e^{-beta x/t}$. Now, $X$ is independent of $Y$ hence $P(Ygeqslant X/tmid X)=e^{-beta X/t}$ almost surely. Finally, take expectations on both sides.
$endgroup$
– Did
Nov 3 '18 at 14:56
$begingroup$
Makes sense, thanks!
$endgroup$
– user35443
Nov 4 '18 at 18:18
add a comment |
$begingroup$
Recall one of the most important characterizations of the exponential distribution:
The random variable $Y$ is exponentially distributed with rate $beta$ if and only if $P(Ygeqslant y)=mathrm{e}^{-beta y}$ for every $ygeqslant0$.
Let $Z=X/Y$ and $tgt0$. Conditioning on $X$ and applying our characterization to $y=X/t$, one gets
$$
P(Zleqslant t)=P(Ygeqslant X/t)=E(mathrm{e}^{-beta X/t}).
$$
Now, the density of the distribution of $X$ is $alphamathrm{e}^{-alpha x}$ on $xgeqslant0$, hence for every $gammageqslant0$,
$$
E(mathrm{e}^{-gamma X})=int_0^{+infty}alphamathrm{e}^{-(alpha+gamma) x}mathrm{d}x=frac{alpha}{alpha+gamma}left[-mathrm{e}^{-(alpha+gamma) x}right]_{0}^{+infty}=frac{alpha}{alpha+gamma}.
$$
Substituting $gamma=beta/t$ yields the formula.
$endgroup$
Recall one of the most important characterizations of the exponential distribution:
The random variable $Y$ is exponentially distributed with rate $beta$ if and only if $P(Ygeqslant y)=mathrm{e}^{-beta y}$ for every $ygeqslant0$.
Let $Z=X/Y$ and $tgt0$. Conditioning on $X$ and applying our characterization to $y=X/t$, one gets
$$
P(Zleqslant t)=P(Ygeqslant X/t)=E(mathrm{e}^{-beta X/t}).
$$
Now, the density of the distribution of $X$ is $alphamathrm{e}^{-alpha x}$ on $xgeqslant0$, hence for every $gammageqslant0$,
$$
E(mathrm{e}^{-gamma X})=int_0^{+infty}alphamathrm{e}^{-(alpha+gamma) x}mathrm{d}x=frac{alpha}{alpha+gamma}left[-mathrm{e}^{-(alpha+gamma) x}right]_{0}^{+infty}=frac{alpha}{alpha+gamma}.
$$
Substituting $gamma=beta/t$ yields the formula.
edited Jun 6 '13 at 6:54
answered Apr 19 '11 at 5:46
DidDid
247k23222458
247k23222458
$begingroup$
What is the probability distribution function?
$endgroup$
– user
Mar 11 '14 at 4:37
4
$begingroup$
@user How to deduce the PDF from the CDF? Tell me...
$endgroup$
– Did
Mar 11 '14 at 6:34
$begingroup$
@Did how did you arrive to $P(Ygeqslant X/t)=E(mathrm{e}^{-beta X/t})$. How is the probability and expectation related?
$endgroup$
– user35443
Nov 1 '18 at 13:57
$begingroup$
@user35443 For every $xgeqslant0$, $P(Ygeqslant x/t)=e^{-beta x/t}$. Now, $X$ is independent of $Y$ hence $P(Ygeqslant X/tmid X)=e^{-beta X/t}$ almost surely. Finally, take expectations on both sides.
$endgroup$
– Did
Nov 3 '18 at 14:56
$begingroup$
Makes sense, thanks!
$endgroup$
– user35443
Nov 4 '18 at 18:18
add a comment |
$begingroup$
What is the probability distribution function?
$endgroup$
– user
Mar 11 '14 at 4:37
4
$begingroup$
@user How to deduce the PDF from the CDF? Tell me...
$endgroup$
– Did
Mar 11 '14 at 6:34
$begingroup$
@Did how did you arrive to $P(Ygeqslant X/t)=E(mathrm{e}^{-beta X/t})$. How is the probability and expectation related?
$endgroup$
– user35443
Nov 1 '18 at 13:57
$begingroup$
@user35443 For every $xgeqslant0$, $P(Ygeqslant x/t)=e^{-beta x/t}$. Now, $X$ is independent of $Y$ hence $P(Ygeqslant X/tmid X)=e^{-beta X/t}$ almost surely. Finally, take expectations on both sides.
$endgroup$
– Did
Nov 3 '18 at 14:56
$begingroup$
Makes sense, thanks!
$endgroup$
– user35443
Nov 4 '18 at 18:18
$begingroup$
What is the probability distribution function?
$endgroup$
– user
Mar 11 '14 at 4:37
$begingroup$
What is the probability distribution function?
$endgroup$
– user
Mar 11 '14 at 4:37
4
4
$begingroup$
@user How to deduce the PDF from the CDF? Tell me...
$endgroup$
– Did
Mar 11 '14 at 6:34
$begingroup$
@user How to deduce the PDF from the CDF? Tell me...
$endgroup$
– Did
Mar 11 '14 at 6:34
$begingroup$
@Did how did you arrive to $P(Ygeqslant X/t)=E(mathrm{e}^{-beta X/t})$. How is the probability and expectation related?
$endgroup$
– user35443
Nov 1 '18 at 13:57
$begingroup$
@Did how did you arrive to $P(Ygeqslant X/t)=E(mathrm{e}^{-beta X/t})$. How is the probability and expectation related?
$endgroup$
– user35443
Nov 1 '18 at 13:57
$begingroup$
@user35443 For every $xgeqslant0$, $P(Ygeqslant x/t)=e^{-beta x/t}$. Now, $X$ is independent of $Y$ hence $P(Ygeqslant X/tmid X)=e^{-beta X/t}$ almost surely. Finally, take expectations on both sides.
$endgroup$
– Did
Nov 3 '18 at 14:56
$begingroup$
@user35443 For every $xgeqslant0$, $P(Ygeqslant x/t)=e^{-beta x/t}$. Now, $X$ is independent of $Y$ hence $P(Ygeqslant X/tmid X)=e^{-beta X/t}$ almost surely. Finally, take expectations on both sides.
$endgroup$
– Did
Nov 3 '18 at 14:56
$begingroup$
Makes sense, thanks!
$endgroup$
– user35443
Nov 4 '18 at 18:18
$begingroup$
Makes sense, thanks!
$endgroup$
– user35443
Nov 4 '18 at 18:18
add a comment |
$begingroup$
Here's a slightly different point of view.
begin{align}
Prleft( frac X Y ge t right) & = iintlimits_{{,(x,y),:, x,ge,ty,ge,0 ,}} e^{-alpha x} e^{-beta y} (alphabeta,d(x,y)) \[10pt]
& = int_0^infty left( int_{ty}^infty e^{-alpha x} (alpha,dx) right) e^{-beta y} (beta,dy) \[10pt]
& = int_0^infty (e^{-alpha ty}) e^{-beta y} (beta,dy) \[10pt]
& = beta int_0^infty e^{-(alpha t+beta)y} , dy = frac beta {alpha t + beta}.
end{align}
This is $1$ minus the c.d.f. Find the c.d.f. and differentiate to get the p.d.f. on the interval $tge0.$
$endgroup$
add a comment |
$begingroup$
Here's a slightly different point of view.
begin{align}
Prleft( frac X Y ge t right) & = iintlimits_{{,(x,y),:, x,ge,ty,ge,0 ,}} e^{-alpha x} e^{-beta y} (alphabeta,d(x,y)) \[10pt]
& = int_0^infty left( int_{ty}^infty e^{-alpha x} (alpha,dx) right) e^{-beta y} (beta,dy) \[10pt]
& = int_0^infty (e^{-alpha ty}) e^{-beta y} (beta,dy) \[10pt]
& = beta int_0^infty e^{-(alpha t+beta)y} , dy = frac beta {alpha t + beta}.
end{align}
This is $1$ minus the c.d.f. Find the c.d.f. and differentiate to get the p.d.f. on the interval $tge0.$
$endgroup$
add a comment |
$begingroup$
Here's a slightly different point of view.
begin{align}
Prleft( frac X Y ge t right) & = iintlimits_{{,(x,y),:, x,ge,ty,ge,0 ,}} e^{-alpha x} e^{-beta y} (alphabeta,d(x,y)) \[10pt]
& = int_0^infty left( int_{ty}^infty e^{-alpha x} (alpha,dx) right) e^{-beta y} (beta,dy) \[10pt]
& = int_0^infty (e^{-alpha ty}) e^{-beta y} (beta,dy) \[10pt]
& = beta int_0^infty e^{-(alpha t+beta)y} , dy = frac beta {alpha t + beta}.
end{align}
This is $1$ minus the c.d.f. Find the c.d.f. and differentiate to get the p.d.f. on the interval $tge0.$
$endgroup$
Here's a slightly different point of view.
begin{align}
Prleft( frac X Y ge t right) & = iintlimits_{{,(x,y),:, x,ge,ty,ge,0 ,}} e^{-alpha x} e^{-beta y} (alphabeta,d(x,y)) \[10pt]
& = int_0^infty left( int_{ty}^infty e^{-alpha x} (alpha,dx) right) e^{-beta y} (beta,dy) \[10pt]
& = int_0^infty (e^{-alpha ty}) e^{-beta y} (beta,dy) \[10pt]
& = beta int_0^infty e^{-(alpha t+beta)y} , dy = frac beta {alpha t + beta}.
end{align}
This is $1$ minus the c.d.f. Find the c.d.f. and differentiate to get the p.d.f. on the interval $tge0.$
edited Sep 2 '18 at 18:09
answered Dec 21 '17 at 19:32
Michael HardyMichael Hardy
1
1
add a comment |
add a comment |
$begingroup$
This is correct. I did the calculation and got the same answer.
$endgroup$
$begingroup$
Did you use u-substitutions, a lot of them?
$endgroup$
– mary
Apr 19 '11 at 5:02
$begingroup$
No, I used Mathematica :) If you do it by hand and you are not familiar with $int alpha e^{-alpha x} dx$ you might need a lot of substitutions.
$endgroup$
– GWu
Apr 19 '11 at 5:03
add a comment |
$begingroup$
This is correct. I did the calculation and got the same answer.
$endgroup$
$begingroup$
Did you use u-substitutions, a lot of them?
$endgroup$
– mary
Apr 19 '11 at 5:02
$begingroup$
No, I used Mathematica :) If you do it by hand and you are not familiar with $int alpha e^{-alpha x} dx$ you might need a lot of substitutions.
$endgroup$
– GWu
Apr 19 '11 at 5:03
add a comment |
$begingroup$
This is correct. I did the calculation and got the same answer.
$endgroup$
This is correct. I did the calculation and got the same answer.
answered Apr 19 '11 at 5:01
GWuGWu
1,204710
1,204710
$begingroup$
Did you use u-substitutions, a lot of them?
$endgroup$
– mary
Apr 19 '11 at 5:02
$begingroup$
No, I used Mathematica :) If you do it by hand and you are not familiar with $int alpha e^{-alpha x} dx$ you might need a lot of substitutions.
$endgroup$
– GWu
Apr 19 '11 at 5:03
add a comment |
$begingroup$
Did you use u-substitutions, a lot of them?
$endgroup$
– mary
Apr 19 '11 at 5:02
$begingroup$
No, I used Mathematica :) If you do it by hand and you are not familiar with $int alpha e^{-alpha x} dx$ you might need a lot of substitutions.
$endgroup$
– GWu
Apr 19 '11 at 5:03
$begingroup$
Did you use u-substitutions, a lot of them?
$endgroup$
– mary
Apr 19 '11 at 5:02
$begingroup$
Did you use u-substitutions, a lot of them?
$endgroup$
– mary
Apr 19 '11 at 5:02
$begingroup$
No, I used Mathematica :) If you do it by hand and you are not familiar with $int alpha e^{-alpha x} dx$ you might need a lot of substitutions.
$endgroup$
– GWu
Apr 19 '11 at 5:03
$begingroup$
No, I used Mathematica :) If you do it by hand and you are not familiar with $int alpha e^{-alpha x} dx$ you might need a lot of substitutions.
$endgroup$
– GWu
Apr 19 '11 at 5:03
add a comment |
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