6.

7 EXPONENTIAL
DISTRIBUTION
The exponential distribution is the
third (and last) continuous
probability distribution we will
consider.
It has useful applications in the
reliability of components which may
fail suddenly and in the theory of
queuing.
It also has an important connection
with the (discrete) Poisson
distribution as follows.
Suppose events occur randomly in
time.
Then we know (from Section 6.3)
that the number of events per unit
time has a Poisson distribution.
It can be shown that the time
between successive random events
has an exponential distribution.
Exponential Random
Variables: Pdf
Let be a positive real number. We
write X~exponential() and say that X
is an exponential random variable with
parameter if the pdf of X is
, if 0
( )
0, otherwise
x
e x
f x

Exponential Random
Variables: Pdf
A look at the graph of the pdf is informative.
Here is a graph for =0.5. Note that it has
the same shape as every exponential graph
with negative exponent (exponential decay).
The tail shrinks to 0 quickly enough to make
the area under the curve equal 1. Later we
will see that the expected value of an
exponential random variable is 1/ (in this
case 2). That is the balance point of the
lamina with shape defined by the pdf. (graph
on next slide)
Exponential Random
Variables: Pdf
Exponential Random
Variables: Pdf
A simple integration shows that the
area under f is 1:
( )
0
0
0
lim lim
lim 0 1 1
t
t
x x x
t t
t
t
e dx e dx e
e e

= =
= = + =

Exponential Random
Variables: Cdf
P(X<x)=
dx e
x
x

| |
x x
e
0

=
x
e

1 =
Exponential Random Variables:
Cdf
Essentially the same computation as above
shows that . Here is the graph of the cdf for
X~exponential(0.5).
Exponential Random
Variables:Expectation
Finding the expected value of
X~exponential() is not hard as long as we
remember how to integrate by parts. Recall
that you can derive the integration by parts
formula by differentiating a product of
functions by the product rule, integrating
both sides of the equation, and then
rearranging algebraically. Thus integration
by parts is the product rule used backwards
and sideways.
Exponential Random
Variables:Expectation
Given functions u and v, .
Integrate both sides wrt x to get .
Rearrange to get .
In practice we look for u and dv in our original integral
and convert to the RHS of
x x x
D uv uD v vD u
uv udv vdu
udv uv vdu
= +
= +
=


the equation to see if that is easier.
Exponential Random Variables:Expectation
The distribution function, F(x)
Probabilities for the exponential distribution
Exponential Random
Variables:
(i) Pdf
, if 0
( )
0, otherwise
x
e x
f x

(ii) Cdf
otherwise 0
0 , 1 ) (
=
=

x e x F
x
(iii) mean
=

1
(iv) Variance
2
1

=
(v) median
=

2 ln
Exponential Random
Variables:Applications
Exponential distributions are sometimes
used to model waiting times or lifetimes.
That is, they model the time until some
event happens or something quits working.
Of course mathematics cannot tell us that
exponentials are right to describe such
situation. That conclusion depends on
finding data from such real-world situations
and fitting it to an exponential distribution.
.
Exponential Random
Variables: Cdf
As the coming examples will show,
this formula greatly facilitates
finding exponential probabilities.
Exponential Random
Variables:Applications
Suppose the wait time X for service at the
post office has an exponential distribution
with mean 3 minutes. If you enter the post
office immediately behind another customer,
what is the probability you wait over 5
minutes? Since E(X)=1/=3 minutes, then
=1/3, so X~exponential(1/3). We want
.
1 5
5
3 3
( 5) 1 ( 5) 1 (5)
1 1 0.189
P X P X F
e e

> = =
| |
= =
|
\
Exponential Random
Variables:Applications
Under the same conditions, what is the
probability of waiting between 2 and 4
minutes? Here we calculate .
4 2
3 3
2 4
3 3
(2 4) (4) (2) 1 1
0.250
P X F F e e
e e


| | | |
= =
| |
\ \
=
Exponential Random
Variables:Applications
The trick in the previous example of
calculating
is quite common. It is the reason the cdf is
so useful in computing probabilities of
continuous random variables.
.
( ) ( ) ( ) P a X b F b F a =
Example 6.16
The mean time between successive telephone calls follow a negative
exponential distribution, arriving randomly at a switchboard is 30
seconds.
(a) What is the probability that the time between successive
telephone calls will
be:
(i) less than 15 seconds;
(ii) between 15 and 30 seconds;
(iii) between 30 and 60 seconds;
(iv) more than 60 seconds?
(b) What is the median time between successive telephone calls?
successive telephone calls are arriving randomly with a mean time
between calls of 30 seconds, X, the time between calls, has an
exponential distribution with a parameter X such that 1/A = 30
seconds
(Note that X is the mean number of calls per second, whereas 1/ is
the mean time, in seconds, between successive calls.)
0.6931
= 20.8 seconds m =

(a) (i) P(X < 15) = F(15) =
15
30
1
1
|

\
|

e
(ii) P(15 < X < 30)
) 1 (
30
30
1
|

\
|

e ) 1 (
15
30
1
|

\
|

e
=
= 0.2387
(b)
= F(30)F(15)
P(30 < X < 60)
) 1 (
60
30
1
|

\
|

e ) 1 (
30
30
1
|

\
|

e
=
= 0.2325
= F(60)F(30)

(iii)
(iv)
P(X>60) = 1 F(60)
) 1 ( 1
60
30
1
|

\
|

e
=
= 0.1353
= 0.3935