If and are independent exponential random variables with parameters and , find the distribution of

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- Dec 9th 2011, 04:15 PMI-ThinkIndependent exponential random variables
If and are independent exponential random variables with parameters and , find the distribution of

Hints? - Dec 9th 2011, 06:26 PMmr fantasticRe: Independent exponential random variables
- Dec 12th 2011, 08:31 AMchisigmaRe: Independent exponential random variables
As in the reference reported by Mr Fantastic if X and Y are independent random variables with p.d.f. and , then the random variable has p.d.f...

(1)

If X and Y are exponential random variables then...

(2)

(3)

... where u(*) is the Haeviside Step Function and (1) becomes after some steps...

(4)

Surprisingly simple!...

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