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Reciprocal truncated exponential distribution function

Posted 3 years ago

I want to find the following:

  1. Mean and variance of one random variable having a truncated exponential distribution function over the interval [a,b]
  2. Mean and variance of two identical random variables having a truncated exponential distribution function over the interval [a,b]
  3. Mean and variance of one random variable having a reciprocal truncated exponential distribution function over the interval [a,b]
  4. Mean and variance of two identical random variable having a reciprocal truncated exponential distribution function over the interval [a,b]

I used the following code to find Mean of one and two truncated exponential distribution function (n=1 and n=2)

n=1;
ExpDist = ExponentialDistribution[\[Lambda]];
TruDist = TruncatedDistribution[{a, b}, ExpDist];
OrdDist = OrderDistribution[{TruDist, n}, n];
FullSimplify [Mean[OrdDist], Assumptions -> {b > a && a > 0, \[Lambda] > 0}]

If I replace Mean with Variance, I will get no result.

Also, any idea how to modify my code to find the the mean and variance of the reciprocal of a truncated exponential distribution function?

POSTED BY: Dalia Fawaz
2 Replies
Posted 3 years ago

Thank you so much!

POSTED BY: Dalia Fawaz
Posted 3 years ago

You can use the "Moment" function (given that variance = 2nd moment minus 1st moment squared):

n = 1;
ExpDist = ExponentialDistribution[\[Lambda]];
TruDist = TruncatedDistribution[{a, b}, ExpDist];
OrdDist = OrderDistribution[{TruDist, n}, n];
mean1 = FullSimplify[Mean[OrdDist], Assumptions -> {b > a && a > 0, \[Lambda] > 0}]
var1 = FullSimplify[Moment[OrdDist, 2], Assumptions -> {b > a && a > 0, \[Lambda] > 0}] - mean1^2 // FullSimplify

$$\frac{(a-b) e^{a \lambda }}{e^{b \lambda }-e^{a \lambda }}+a+\frac{1}{\lambda }$$

$$\frac{-e^{\lambda (a+b)} \left(\lambda ^2 (a-b)^2+2\right)+e^{2 a \lambda }+e^{2 b \lambda }}{\lambda ^2 \left(e^{a \lambda }-e^{b \lambda }\right)^2}$$

For $n=2$:

n = 2;
ExpDist = ExponentialDistribution[\[Lambda]];
TruDist = TruncatedDistribution[{a, b}, ExpDist];
OrdDist = OrderDistribution[{TruDist, n}, n];
mean2 = FullSimplify[Mean[OrdDist], Assumptions -> {b > a && a > 0, \[Lambda] > 0}]
var2 = FullSimplify[Moment[OrdDist, 2], Assumptions -> {b > a && a > 0, \[Lambda] > 0}] - mean2^2 // FullSimplify

$$\frac{(2 a \lambda +3) e^{2 b \lambda }-4 (b \lambda +1) e^{\lambda (a+b)}+e^{2 a \lambda } (2 b \lambda +1)}{2 \lambda \left(e^{a \lambda }-e^{b \lambda }\right)^2}$$

$$-\frac{\left((2 a \lambda +3) e^{2 b \lambda }-4 (b \lambda +1) e^{\lambda (a+b)}+e^{2 a \lambda } (2 b \lambda +1)\right)^2-2 \left(e^{a \lambda }-e^{b \lambda }\right)^2 \left((2 a \lambda (a \lambda +3)+7) e^{2 b \lambda }+e^{2 a \lambda } (2 b \lambda (b \lambda +1)+1)-4 (b \lambda (b \lambda +2)+2) e^{\lambda (a+b)}\right)}{4 \lambda ^2 \left(e^{a \lambda }-e^{b \lambda }\right)^4}$$

POSTED BY: Jim Baldwin
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