# Math Help - uniform distribution

1. ## uniform distribution

Let X ~ U(0,1)
Prove Y := $\frac{-log(X)}{\lambda}$ has exponential distrution with parameter $\lambda$

2. Originally Posted by wik_chick88
Let X ~ U(0,1)
Prove Y := $\frac{-log(X)}{\lambda}$ has exponential distrution with parameter $\lambda$
This can be easily proved using the probability integral transform theorem:

Suppose that Y is a continuous random variable with pdf f(y) and continuous cdf F(y). Suppose that X is a continuous standard uniform random variable. Then $U = F^{-1}(x)$ is a random variable with the same probability distribution as Y. (For proof see for example Roussas G. G. (1997) A Course in Mathematical Statistics. Or just use a search engine).

In your case, let Y be an exponential random variable with pdf $f(y) = \lambda e^{-\lambda y}$. Note: You will need to realise that If X ~ U(0, 1) then 1 - X ~ U(0, 1).