Category Archives: cumulative distribution function

Tail-sum formula for continuous random variable

Let \(X\) be a positive random variable with c.d.f \(F\).

  1. Show using the representation \(X=F^{-1}(U)\) where \(U\) is \(\textrm{unif}(1,0)\) that \(\mathbf{E}(X)\) can be interpreted as the area above the graph on  \(y=F(x)\) but below the line \(y=1\). Using this deduce that
    \[\mathbf{E}(X)=\int_0^\infty [1-F(x)] dx = \int_0^\infty \mathbf{P}(X> x) dx \ .\]
  2. Deduce that if \(X\) has possible values \(0,1,2,\dots\) , then
    \[\mathbf{E}(X)=\sum_{k=1}^\infty \mathbf{P}(X\geq  k)\]

Min, Max, and Exponential

Let \(X_1\) and \(X_2\) be random variables and let \(M=\mathrm{max}(X_1,X_2)\) and \(N=\mathrm{min}(X_1,X_2)\).

  1. Argue that the event \(\{ M \leq x\}\) is the same as the event   \(\{X_1 \leq x, X_2 \leq x\}\) and similarly that t the event \(\{ N > x\}\) is the same as the event   \(\{X_1 > x, X_2 > x\}\).
  2. Now assume that the \(X_1\) and \(X_2\) are independent and distributed with c.d.f. \(F_1(x)\) and \(F_2(x)\) respectively . Find the c.d.f. of \(M\) and the c.d.f. of \(N\) using the proceeding observation.
  3. Now assume that \(X_1\) and \(X_2\) are independently and exponentially  distributed with parameters \(\lambda_1\) and \(\lambda_2\) respectively. Show that \(N\) is distributed exponentially and identify the parameter  in the exponential distribution of \(N\).
  4. The route to a certain remote island contains 4 bridges. If the time to collapse of each bridge is exponential distributed with mean 20 years and is independent of the other bridges, what is the distribution of the time until the road is impassable because one of the  bridges has collapsed.


[Jonathan Mattingly]


Assume we have a large number of particles \(N\) of Strontium. The decay model for Strontium is exponential in that \(\mathbf{P}(T > t) = e^{- \lambda t}\), this states the probability of a an atom surviving until time \(T\).

  1. The half-life of a substance is the amount of time it takes for an appreciable amount of the substance to be reduced in half. If the half life of strontium is 28 years what is the decay parameter of the exponential ?
  2.  What is the probability Strontium lasts at least 50 years, \(\mathbf{P}(T > 50) \) ?
  3. Suppose we have \(5\) radioactive substances, the decay of each of which can be modeled by five exponential random variables \(X_1,…,X_5\) with parameters \(\lambda_1,…,\lambda_5\). Assume the five distributions are independent. What is the pdf for \(\min\{X_1,…,X_5\}\).