University Of Zakho

Faculty of Science

Mathematic department

Exponential Distribution

Prepared by:

Iman N. Abdulah

Halat H. Omer

Supervised by:

Dr. Shelan Saaed

2023-2024
Contents
Abstract......................................................................................................................3

Introduction...............................................................................................................4

What is Exponential Distribution..............................................................................5

Exponential Distribution Formula.............................................................................5

Mean and Variance of Exponential Distribution.......................................................5

Mean:.....................................................................................................................5

Variance:................................................................................................................6

Theorem.....................................................................................................................7

Examples...................................................................................................................9

Conclusion...............................................................................................................11

References...............................................................................................................12

2
Abstract

The exponential distribution is a basic distribution for constructing a number of

other distributions. For example, the gamma distribution is obtained from the
distribution of the sum of random variables where each variable follows an
exponential distribution. Indeed, it is the simplest member of the gamma family of
distributions and can be considered as a special case of the two-parameter gamma
distribution. It is a one-parameter distribution and has found widespread
application in hydrology and water resources.

3
Introduction

The exponential distribution is a basic distribution for constructing a number of

other distributions. For example, the gamma distribution is obtained from the
distribution of the sum of random variables where each variable follows an
exponential distribution. Indeed, it is the simplest member of the gamma family of
distributions and can be considered as a special case of the two-parameter gamma
distribution. It is a one-parameter distribution and has found widespread
application in hydrology and water resources. The instantaneous unit hydrograph
of a linear reservoir, frequently used in systems hydrology, is exponential. The
exponential distribution is often used for frequency analysis of rainfall depth,
intensity and duration, and number of rainfall events. It is frequently used in
biology, genetics, quantum mechanics, reliability engineering, to name but a few.

4
What is Exponential Distribution

In Probability theory and statistics, the exponential distribution is a

continuous probability distribution that often concerns the amount of time until
some specific event happens. It is a process in which events happen continuously
and independently at a constant average rate. The exponential distribution has the
key property of being memoryless. The exponential random variable can be either
more small values or fewer larger variables. For example, the amount of money
spent by the customer on one trip to the supermarket follows an exponential
distribution.

Exponential Distribution Formula

The continuous random variable, say X is said to have an exponential distribution,

if it has the following probability density function:
−λx
f X ( x∨ λ)={ λ e for x >0
0 for x≤0

Where

λ is called the distribution rate.

Mean and Variance of Exponential Distribution

Mean:

The mean of the exponential distribution is calculated using the integration by

parts.
∞
Mean=E [ X ] =∫ ❑ xλ e− λx dx
0

5
 [| | ]
−λx ∞ ∞
−x e 1
+ ∫ ❑ e dx
−λx
¿λ
λ 0 λ 0

[ ]
− λx ∞
1 −e
¿ λ 0+
λ λ 0

1
¿λ 2
λ

1
¿
λ

Variance:

To find the variance of the exponential distribution, we need to find the second
moment of the exponential distribution, and it is given by:
∞
2
E [ X ]=∫ ❑ x λ e
2 2 −λx
= 2
0 λ

Hence, the variance of the continuous random variable, X is calculated as:

Var (X) = E(X2)- E(X)2

Now, substituting the value of mean and the second moment of the exponential
distribution, we get,

2 1 1
Var ( X )= 2
− 2= 2
λ λ λ

Thus, the variance of the exponential distribution is 1/λ2.

6
Theorem

Theorem1: The exponential distribution has the scaling property. That is, if X is
an exponential random variable with population mean α >0, then for any constant
k > 0 , kX is also an exponential random variable.

Proof The cumulative distribution function of an exponential random variables X is

F X (x ) ¿ P(X ≤ x)
¿ ¿

The cumulative distribution function of the random variable kX , for k > 0 is

F kX (x) ¿ P( kX ≤ x)
− x/(kα)
¿ ¿ 1−e x> 0 ,

which is also the cumulative distribution function of an exponential random

variable. Therefore, the exponential distribution has the scaling property.

Theorem 2: Let X be a random variable following an exponential distribution:

X ∼ exp ( λ ) .

Then, the moment generating function of X is

λ
M X ( t )=
λ−t

which is well-defined for t<λ.

Proof: Suppose X follows an exponential distribution with rate λ; that

is, X ∼ exp ( λ ) . Then, the probability density function is given by
− λx
f X ( x )=λ e

and the moment-generating function is defined as

M X ( t )=E [ e tX ] .

7
Using the definition of expected value for continuous random variables, the
moment-generating function of X is thus:

Note that t cannot be equal to λ, else MX(t) is undefined. Further, if t>λ,

then limx→∞ex(t−λ)=∞, which implies that MX(t) diverges for t≥λ. So, we must
restrict the domain of MX(t) to t<λ. Assuming this, we can further simplify

λ
M X (t ) ¿
[
lim e x ( t− λ )−1
t−λ x→ ∞ ]
λ
¿ ¿ .
λ−t

This completes the proof of (2).

8
Examples

Example 1:

Let X be an exponential distribution with parameter 2. Find

(a) P(1< X <2); (b) P( X> 2) ; (c) E [X ]¿ (d) Var ⁡( X ).

−2 x
Sol.: The density function is f (x)=2 e , 0 ≤ x < ∞.

(a):
2
−2 x 2
P(1< X <2)=∫ ❑ 2e
−2 x
dx=− e | =−e−4 −−e−2=e−2−e−4=0.1170196443
1
1

(b): P( X> 2)= F́(2)=e−2⋅ 2=e−4 =0.01831563889 ….

1 1
(c): Since λ=2 , E [ X ]= λ = 2 .
1 1 1
(d): Since λ=2 ,Var ⁡(X )= 2 = 2 = 4 .
λ 2

Example 2:

The lifetime of a gadget costing 300 is exponentially distributed with mean 3

years. The manufacturer agrees to pay a full refund to a buyer if the gadget fails
during the first year following the purchase, a two-thirds refund if it fails between
the first and second year, and a one-third refund if it fails between the second and
third year. If the manufacturer sells 1000 gadgets, how much should it expect to
pay in refunds?

1 1 −x /3
Sol. to 13.3: Since the average is 3 , λ= 3 . The density function is f (x)= 3 e .

1
1 x /3 − x/ 3 1
P(0< X <1)=∫ ❑ e =− e |0=1−e
−1/ 3

0 3

9
 2
1 x/ 3 − x/3 2
P(1< X <2)=∫ ❑ e =−e |1=e −e ,
−1/ 3 −2 /3

1 3

| =e
3 x −x 3 −2
1
P ( 2< X <3 )=∫ ❑ e 3 =−e 3
2
3
−e−1
2 3

The expected refund for a single gadget is

300 ⋅ ( 1−e−1/ 3 ) +200 ⋅ ( e−1 /3−e−2 /3 ) +100 ⋅ ( e−2/ 3−e−1 )

¿ 300−100 e−1/3 −100 e−2/ 3−100 e−1=140.2172129 …

Finally, multiplying it by the number of gadgets, 1000, we get that the

manufacturer should expect to pay in refunds $140217:2129.

10
Conclusion

The exponential distribution characterizes the time intervals between events in

processes where events occur independently at a constant average rate. It's
described by a Probability Density Function (PDF) which outlines the likelihood of
observing specific time intervals between events. One significant property is its
memorylessness, where the probability of an event occurring in the next instant is
1 1
independent of past elapsed time. The distribution's mean ( λ ) and variance ( λ 2 )

provide insights into central tendency and spread. Widely applicable, it finds use in
reliability engineering, queuing theory, telecommunications, and finance. It's
closely related to the Poisson distribution, with the time between events following
an exponential distribution if the number of events in a fixed interval follows a
Poisson distribution. However, it may not always perfectly represent real-world
phenomena, especially if the assumption of a constant event rate is violated.

11
References

1. [Link]
0_4#:~:text=Abstract,variable%20follows%20an%20exponential
%20distribution.
2. Singh, V. (1998). Entropy-based parameter estimation in hydrology (Vol. 30).
Springer Science & Business Media.
3. [Link]
4. [Link]

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