Let X have an exponential distribution with = 1; that is, the pdf of X is

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Let X have an exponential distribution with θ = 1; that is, the pdf of X is f(x) = e−x, 0 < x < ∞. Let T be defined by T = ln X, so that the cdf of T is
G(t) = P(ln X ≤ t) = P(X ≤ et)
(a) Show that the pdf of T is g(t) = ete−et, −∞ < x < ∞, which is the pdf of an extreme-value distribution.
(b)
Let W be defined by T = α + β ln W, where −∞ < α < ∞ and β > 0. Show that W has a Weibull distribution.
Distribution
The word "distribution" has several meanings in the financial world, most of them pertaining to the payment of assets from a fund, account, or individual security to an investor or beneficiary. Retirement account distributions are among the most...
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Probability and Statistical Inference

ISBN: 978-0321923271

9th edition

Authors: Robert V. Hogg, Elliot Tanis, Dale Zimmerman

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