Some peculiarities of exponential random variables

DOI10.1239/JAP/1005091043MaRDI QIDQ2774458zbMATH OpenOpenAlexFDO

Authors Nelly Litvak

Publication date 21 October 2002

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/3eabea03d6898977d8223cda39080d23bcb7dc04

Mathematics Subject Classification ID

Distribution theory (60E99) Characterization and structure theory of statistical distributions (62E10) Inventory, storage, reservoirs (90B05)

Review text

The author proves two rather surprising distributional identities for truncated weighted sums and maxima of iid exponentially distributed random variables. The proofs, which proceed by induction, make use of a strong lack of memory property. It would seem that the identity for sums can also be proved by use of Laplace transforms. The identities are applied to an inventory system, where use is made of the relation between uniform spacings and exponentially distributed random variables.

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(4)

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