Friday, 23 August 2013

sum of two independent exponential distribution

sum of two independent exponential distribution

let $Y_1\sim \exp(\lambda_1)$ and $Y_2\sim \exp(\lambda_2)$ and $V=Y_1+Y_2$
Show that the pdf of $p_V(x)$ of $V$ has the following form
$$p_V(x)=\frac{e^\frac{-v}{\lambda_1}-e^\frac{-v}{\lambda_2}}{\lambda_1-\lambda_2};\quad
v\ge0$$
My attempt:
distribution of $Y_i$,
$$p_{Y_i}(y_i)=\frac{1}{\lambda_i}e^\frac{-{y_i}}{\lambda_i};\quad
x\ge0;\quad i=1,2$$
joint distribution of $Y_1$ and $Y_2$,
$$p_{Y_1,Y_2}(y_1,y_2)=\frac{1}{\lambda_1\lambda_2}e^{\frac{-{y_1}}{\lambda_1}-\frac{{y_2}}{\lambda_2}};\quad
{y_1},{y_2}\ge0$$
Given, $V=Y_1+Y_2$
let $U=Y_2$
So the Jacobian of Transformation is $1$
and hence joint distribution of $V$ and $U$,
$$p_{V,U}(v,u)=\frac{1}{\lambda_1\lambda_2}e^{\frac{-{v-u}}{\lambda_1}-\frac{{u}}{\lambda_2}};\quad
{v},{u}\ge0$$
so the distribution of $v$ $$p_{V}(v)=\int_0^\infty
p_{V,U}(v,u)du=\frac{e^\frac{-v}{\lambda_1}}{\lambda_1-\lambda_2};\quad
v\ge0$$
which doesn't match with the result.

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