The Difference of Two Independent Exponential Random Variables

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MIT 6.041SC Probabilistic Systems Analysis and Applied Probability, Fall 2013
Instructor: Kuang Xu

License: Creative Commons BY-NC-SA
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Thanks dude! That helped me to figure out what if X and Y are exponential random variables with different parameters.

plrc
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how would you do this when the two random variables at the start have different parameters? e.g: X~Exp(a), Y~Exp(b)

charlesreed
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Hi, should we add a condition that lambda > 0? otherwise there is an issue on the last step integral, right? when lambda <0 it will be infinity - 1= infinity instead of 0-1. everything will be 0 when lambda=0

lahaale
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dont you need examine z>0 ? tehere should be 2 case ı think!

cengizhancengiz
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i don't see how to examine z<0 and z>0, what does it change?

chybaty