Probability Distribution Function.

If X is a continuous random variable, then its cumulative distribution function (abbreviated cdf ) or probability distribution function is dened for all real x, by: Fx (x) = P (X x) Probability Density Function. The probability density function (pdf) of a continuous random variable is: fX (x) = lim
dx0

FX (x + dx) FX (x) P (x < X x + dx) = lim dx0 dx dx

Let X1 , ..., Xn be independent random variables. When the random variable are independent, then by denition: f (x1 , x2 , ..., xn ) = fX1 (x1 )fX2 (x2 )...fXn (xn ) If X1 and X2 are random variables, then for any sets A and B: P (X1 A, X2 B ) = P (X1 A)P (X2 B ) This holds for more than two independent random variables, so for example: P (X1 x1 , X2 x2 , ..., Xn xn ) = P (X1 x1 )P (X2 x2 )...P (Xn xn )

Negative exponential distribution

In probability theory and statistics, the exponential distributions (a.k.a. negative exponential distributions) are a class of continuous probability distributions. They describe the times between events in a Poisson process, i.e. a process in which events occur continuously and independently at a constant average rate. The probability density function of an exponential distribution is: f (x; ) = ex , x 0 and 0 when x < 0 If a random variable X has this distribution, we say that the random variable is exponentially distributed with parameter . The cumulative distribution function is: F (x; ) = P (X x) = 1 ex and: P (X > x) = ex The mean value is given by: E (X ) = 1/ Let X1 , ..., Xn be independent exponential random variables representing the time to failure of n subsystems. For subsystem i, the mean is i E (Xi ) = 1 , i = 1, ..., n. i 1

a) Assume that the time unit is years, what is the probability that all n subsystems function for at least y years? If you think of one subsystem i, in isolation, the probability that it lasts for more than y years is simply P (Xi > y ). According the above denition then, the probability that all n subsystems function for at least y years is:
n

P (X1 > y, X2 > y, ...., X2 > y ) =

k=1 n n

P (Xk > y )

=
k=1

1 FXi (y ) =
k=1

ei y

b) What is the distribution of the time that passes until the rst system fails The system failure time is y . This means that the system works up until time y and has failed when the time is greater than y . The rst system that fails must be the minimum of all Xi s and when this system fails all the other systems are still working which means that none of the other systems can have failed. This can thus be stated as:
n

P (X1 > y, X2 > y, ...., X2 > y ) =

k=1 n n

P (Xk > y )

=
k=1

1 FXi (y ) =
k=1

ei y

Which is exactly the same as above. The distribution is thus exponential with parameter 1 + 2 + ... + 3 There are numerous applications where random variables are ordered from least to greatest, with a particular value in the ordering being of interest, such as the smallest, the largest, median etc. Dene Y1 = min(X1 , ..., Xn ) and Yn = max(X1 , ..., Xn ) . c) Determine the distribution of Y1 and Yn

FY1 (y ) = P (Y1 y )

= P (min{X1 , X2 , ......Xn } y ) = P (X1 y or X1 y or... or X1 y ) For one of these to be less then y means that not all can be greater than y : = 1 P (X1 > y, X2 > y....Xn > y )
n

=1
n

[P (Xi > y ]
i=1

=1
i=1

[1 (1 ei y )]
n

=1

[ei y )]
i=1

FYn (y ) = P (Yn y ) = P (max{X1 , X2 , ......Xn } y ) IF the max is smaller than y , then all of them must be smaller than y so: = P (X1 y, X2 y, ..., Xn y )
n

=
i=1 n

P (Xi y ) (1 ei y )
i=1

d) Show that the probability that Xi is the smallest one among X1 , ..., Xn is equal i to 1 +... +n , i = 1, ..., n P (Xi = min(X1 , ...Xn )) = P (next event is from Xi ) = P (next event is from Xi in interval t, t+dt no events in the others processes) Using the continuous version of total probability:

P (Xi = min(X1 , ...., Xn )) =

0

fXi (x)
j =i

P (Xj > x)dx

e(1 +2 +..n )x i ei x dx =
0

i 1 + 2 + ... + n