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Section 7 - Exponential Distribuation

1) The document derives the cumulative distribution function (CDF), random observation (R.O.) equation, mean, and variance of the exponential distribution with parameter μ. 2) It shows how to generate random observations from an exponential distribution with rate 3 using uniform random numbers between 0 and 1 and the derived R.O. equation. 3) Five random observations are generated from an exponential distribution with rate 3 using five given uniform random numbers.

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Hager gobran
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33 views

Section 7 - Exponential Distribuation

1) The document derives the cumulative distribution function (CDF), random observation (R.O.) equation, mean, and variance of the exponential distribution with parameter μ. 2) It shows how to generate random observations from an exponential distribution with rate 3 using uniform random numbers between 0 and 1 and the derived R.O. equation. 3) Five random observations are generated from an exponential distribution with rate 3 using five given uniform random numbers.

Uploaded by

Hager gobran
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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El-Shorouk Academy

Higher Institute for Computer & Term : First


Information Technology Year : 3rd
Department of Computer sciences
Instructor : Dr.farouk shaaban
Computer modeling & simulation

Derive the CDF of Exp(µ) also derive equation for the Random
Observation (R.O) , Mean , Variance of above distribution

Answer
Exponential distribution Exp(µ):
CDF:-
pdf : f(x) = µe-µx 0≤ x ≤ ∞
Then CDF : F(X) = = µ
= µ . | = - e-µx |

F( X ) = F(x) — F(0) = — e-µx — (— 1)= — e-µx +1
0≤ x ≤ ∞

F(x) = 1 — e-µx “CDF”




TO get R.O equation:-

R=F(x)
R = 1 — e-µx
e-µx = 1 — R

ln e-µx = ln(1 — R)

-µx = ln(1— R) -----> x = , 0 ≤ R ≤ 1 “R.O”

To get Expected Mean:

-µx
E(x) =
U= x = µe-µx

U
+x +µe-µx
-1 -e-µ×
+0 e-µ×

E(X) = -xe-µ× - e-µx ∞


0
=0–[- ]=

Ø E(X) =
To get variance

2
V(x) = . µe-µ× -

U = x2 = µe-µx

+X2 +µe-µx
-2x
-e-µx
+2
+ e-µx
-0

-e-µx/ µ2

∞
V(X)= - x2 e-µ× - 2x e-µ× - 2 e-µ×/ µ2 -

0
V(∞)- V(0) = 0-(- )-

Ø V( X) =
Example :-

Generate 5 R.O from the following distribution: Exp(3) use the


following R.N 0.8 0.6 0.1 0.5 0.7
− ln (1−𝑅) μ
x =
− ln (1−𝑅) 3
x =

1) R.N = 0.8

0 ≤ X ≤ ∞ 0 ≤ R ≤ 1
− ln (1−0.8)
X1 = = 0.536 3
2. 2) R.N = 0.6
− ln (1−0.6)
X2 = = 0.305 3
3. 3) R.N = 0.1
− ln (1−0.1)
X3= = 0.035 3
4. 4) R.N = 0.5
− ln (1−0.5)
X4 = = 0.231 3
5. 5) R.N = 0.7
− ln (1−0.7)
X5 = = 0.401 3
0 ≤ R ≤ 1

0 ≤ R ≤ 1 0 ≤ R ≤ 1
0 ≤ R ≤ 1 0 ≤ R ≤ 1

0 ≤ X ≤ ∞ 0 ≤ X ≤ ∞

0 ≤ X ≤ ∞ 0 ≤ X ≤ ∞

0 ≤ X ≤ ∞

ANSWER
➢ Note: X must belong to that range 0 ≤ X ≤ ∞

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