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EXPONENTIAL DISTRIBUTION:
THEORY AND METHODS
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MATHEMATICS RESEARCH
DEVELOPMENTS
EXPONENTIAL DISTRIBUTION:
THEORY AND METHODS
M. AHSANULLAH
AND
G. G. HAMEDANI
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Preface ix
1. Introduction 1
1.1 Preliminaries 3
2. Order Statistics 11
2.1 Preliminaries and Definitions 11
2.2 Minimum Variance Linear Unbiased Estimators Based 18
on Order Statistics
2.3 Minimum Variance Linear Unbiased Predictors 24
(MVLUPs)
2.4 Limiting Distributions 27
3. Record Values 31
3.1 Definitions of Record Values and Record Times 31
3.2 The Exact Distribution of Record Values 31
3.3 Moments of Record Values 38
3.4 Estimation of Parameters 44
3.5 Prediction of Record Values 46
3.5 Limiting Distribution of Record Values 48
References 121
Index 143
Preface
The univariate exponential distribution is the most commonly used
distribution in modeling reliability and life testing analysis. The exponential
distribution is often used to model the failure time of manufactured items in
production. If X denotes the time to failure of a light bulb of a particular make,
with exponential distribution, then P(X>x) represent the survival of the light
bulb. The larger the average rate of failure, the bigger will be the failure time.
One of the most important properties of the exponential distribution is the
memoryless property; P(X>x+y|X>x) = P(X>y). Given that a light-bulb has
survived x units of time, the chances that it survives a further y units of time is
the same as that of a fresh light-bulb surviving y units of time. In other words
past history has no effect on the light-bulb’s performance. The exponential
distribution is used to model Poisson process, in situations in which an object
actually in state A can change to state B with constant probability per unit.
The aim of this book is to present various properties of the exponential
distribution and inferences about them. The book is written on a lower
technical level and requires elementary knowledge of algebra and statistics.
This book will be a unique resource that brings together general as well as
special results for the exponential family. Because of the central role that the
exponential family of distributions plays in probability and statistics, this book
will be a rich and useful resource for Probabilists, Statisticians and researchers
in the related theoretical as well as applied fields. The book consists of six
chapters. The first chapter describes some basic properties of exponential
distribution. The second chapter describes order statistics and inferences based
on order statistics. Chapter three deals with record values and chapter 4
presents generalized order statistics. Chapters 5 and 6 deal with the
characterizations of exponential distribution based on order statistics, record
values and generalized order statistics.
Summer research grant and sabbatical leave from Rider University
enabled the first author to complete part of the book. The first author expresses
his sincere thanks to his wife Masuda for the longstanding support and
x M.Ahsanullah and G.G.Hamedani
M. Ahsanullah
G. G.Hamedani
About the Authors
Introduction
P (X1 > t, X2 > t, . . ., Xn > t) = ∏ni=1 P(Xi > t) = e−nλt , which is an exponential
random variable with parameter nλ.
Let N be a geometric random variable with probability mass function
P (N = k) = p qk−1, k = 1, 2, . . . where p + q = 1. Now if Xi 0 s are indepen-
dent and identically distributed with cumulative distribution function F (x) =
1 − e−λx , x ≥ 0 and if V = ∑Ni=1 Xi is the geometrically compounded random
d d
variable, then pV = Xi = means equal in distribution . To see this, let L (t)
be the Laplace transform of V , then
−1
∞
t −k k−1 t
L (t) = E E e −tV
|N = ∑ 1+
λ
pq = 1+
λp
.
k=1
d
Thus, p V = Xi .
Suppose the random variable X has cumulative distribution function F (x) =
1 − e−λx , x ≥ 0, and Y = [X], the integral part of X, then Y has the geometric
distribution with probability mass function P (Y = k) = pqk , k = 0, 1, . . . and
p = 1 − e−λ ,
P (Y = y) = P (y ≤ X < y + 1) = F (y + 1) − F (y)
= e−λy − e−λ(y+1) = 1 − e−λ e−λy .
Let Xk,n denote the kth smallest of (X1 , X2, . . ., Xn). Note that Xk,n is a func-
tion of the sample variables, and hence is a statistic, called the kth order statistic.
Our goal in Chapter 2 is to study the distribution of the order statistics, their
properties and their applications. Note that the extreme order statistics are the
minimum and maximum values:
then called a “record”, and its value a record value, or, more precisely, an upper
record value. The first observation is obviously a record. We call it the first
record. The second upper record is the first observation whose value is larger
than that of the first one. We can define the lower records similarly by consider-
ing lower values. In Chapter 3 we will study record values, in particular when
the underlying random variable X has an exponential distribution.
Order statistics and record values are special cases of generalized order
statistics. Many of their properties can be obtained from the generalized or-
der statistics. In chapter 4, we have presented generalized order statistics of
exponential distribution.
The problem of characterizing a distribution is an important problem which
has attracted the attention of many researchers in recent years. Consequently,
various characterization results have been reported in the literature. These char-
acterizations have been established in many different directions. The goal of
Chapters 5 and 6 is to present characterizations of the exponential distribution
based on order statistics and based on generalized order statistics (Chapter 5) as
well as based on record values (Chapter 6).
For the sake of self-containment, we mention here some elementary defini-
tions, which most of the readers may very well be familiar with them. The read-
ers with knowledge of introduction to probability theory may skip this chapter
all together and go straight to the next chapter.
1.1. Preliminaries
Definition 1.1.1. A random or chance experiment is an operation whose
outcome cannot be predicted with certainty.
We denote a random experiment with E. Throughout this book “experi-
ment” means “random experiment”.
4 M. Ahsanullah and G.G. Hamedani
Examples 1.1.2.
(a) Flipping a coin once.
(b) Rolling a die once.
FX (t) = P (X ≤ t), t ∈ R.
Properties of cd f FX :
(i) limt→+∞ FX (t) =01 ;
(ii) FX is non-decreasing on R;
(iii) FX is right-continuous on R.
Properties of pd f f X :
(i) fX (t) ≥ 0 for all t ∈ R;
R
(ii) R f X (t)dt = 1.
where λ = σ1 .
We observe that the condition P(X > s + t|X > s) = P (X > t) is equivalent
to 1 − F (s + t) = (1 − F (s)) (1 − F (t)). Now, if X is a non-negative and non-
degenerate rv satisfying this condition, then cd f of X will be F (x) = 1 − e−λx ,
x ≥ 0. To see this, note that condition 1 − F (s + t) = (1 − F (s)) (1 − F (t)) will
lead to the condition
1 − F (nx) = (1 − F (x))n , for all n ≥ 1 and all x ≥ 0,
n
that is, 1 − F (x) = 1 − F( nx ) . The solution of this last equation with bound-
ary conditions F (0) = 0 and F (∞) = 1 is F (x) = 1 − e−λx .
The hazard rate ( f (x) / (1 − F (x))) is constant for E (µ, λ). In fact E (µ, λ)
is the only family of continuous distributions with constant hazard rate. It can
easily be shown that the constant (λ) hazard rate of a continuous cd f F together
with boundary conditions F (0) = 0 and F (∞) = 1 imply that F (x) = 1 − e−λx .
8 M. Ahsanullah and G.G. Hamedani
R
Note that throughout this book we will use the notation E [h (X)] =
R h (x) dFX (x) for the expected value of the rv h (X).
Remarks 1.1.16.
(a) µ0 = 1, µ1 = E [X] is expected value or mean of X . σ2X = µ2 − µ12 is
0 0 0 0
provided the right hand side (RHS) exists. Note that µ2 = σ2X .
(c) It is easy to show that from µr 0 s one can calculate µ0r 0 s and vice versa.
In fact if the moments about any real number a are known, then moments about
Introduction 9
any other real number b can be calculated from those about a. Moments about
zero, µ0r 0 s , are the most common moments used.
Example 1.1.17. Let X ∼ E (λ). Find all the moments of X which exist.
Solution:
Z ∞
0 Γ (r + 1)
µr = xr λe−λx dx = , r = 1, 2, . . . .
0 λr
Properties of MGF :
(i) MX (0) = 1;
(r) 0 (r)
(ii) MX (0) = µr , r = 1, 2, . . ., where MX (0) is the rth derivative of the
MGF evaluated at 0.
which does not depend on location parameter µ. It is the same as the entropy of
the exponential distribution E (λ).
Chapter 2
Order Statistics
fk:n (x)
Z Z Z
= ... f 1,2,...,n:n (x1 , . . ., xk−1 , x, xk+1, . . ., xn ) dx1 · · ·dxk−1 dxk+1 · · ·dxn
Z Z Z k−1 n
= n! f (x) ... ∏ f (x j ) ∏ f (x j )dx1 · · ·dxk−1 dxk+1 · · ·dxn , (2.1.2)
j=1 j=k+1
The symmetry of ∏k−1 j=1 f (x j ) with respect to x1 , . . ., xk−1 and that of ∏ j=k+1 f
n
and = 0, otherwise.
In particular, if r = 2, 1 ≤ i < j ≤ n, and x1 < x2 , then
n!
f i, j:n (x1 , x2 ) =
(i − 1)! ( j − i − 1)! (n − j)!
× (F (x1 ))i−1 [F (x2) − F (x1 )] j−i−1 [1 − F (x2)]n− j f (x1 ) f (x2 ) .
Order Statistics 13
Thus, X j,n given Xi,n = x1 is the ( j − i)th order statistic in a sample of n − i from
truncated distribution with cd f Fc (x2 |x1) = F(x1−F(x2 )−F(x1 )
1)
. For F (x) = 1 − e−x ,
x ≥ 0, we will have Fc (x2 |x1) = 1 − e−(x2−x1) , x2 ≥ x1 .
If X ∼ E (1) and Z1,n ≤ Z2,n ≤ · · · ≤ Zn,n are the n order statistics corre-
sponding to a sample of size n from X, then it can be shown that the joint pd f
of Z1,n , Z2,n, . . ., Zn,n is
(
n!e−(∑i=1 zi ) , 0 ≤ z1 ≤ z2 ≤ · · · ≤ zn < ∞,
n
Thus, W1, W2, . . .,Wn are i.i.d. exponential with cd f F (w) = 1 − e−w , w ≥ 0.
Hence we can write
d W1 W2 Wk
Zk,n = + +···+ , k = 1, 2, . . ., n, (2.1.5)
n n−1 n−k+1
where Wi0 s are i.i.d. with cd f F (x) = 1 − e−x , x ≥ 0.
d
Clearly, nX1,n = X ∼ E (1). Since E [Wi ] = 1, Var [Wi] = 1, from (2.1.5) it
follows that
k k
Wi 1
E [Zk,n] = ∑ E =∑ ,
i=1 n−i+1 i=1 n − i + 1
k k
Wi 1
Var [Zk,n] = ∑ Var =∑ 2
, 1 ≤ k ≤ n,
i=1 n−i+1 i=1 (n − i + 1)
14 M. Ahsanullah and G.G. Hamedani
and
k k
Wi 1
Cov (Zk,n , Zs,n ) = ∑ Var =∑ , k ≤ s.
i=1 n−i+1 i=1 (n − i + 1)2
h i
Furthermore, letting αki,n = E Xi,n
k
, k ≥ 1, n ≥ 1, then we have the following
theorems (see, Joshi, (1978)).
Proof.
Z ∞ Z ∞
k
αk1,n = k
x ne −nx
dx = −xk e−nx |∞
0 + kxk−1 e−nx dx = αk−1 .
0 0 n 1,n
1
αi,i+1,n = α2i,n + αi,n , 1 ≤ i ≤ n − 1,
n−i
and
1
αi, j,n = αi−1, j,n + αi, j−1,n, 1 ≤ i < j ≤ n, j − i ≥ 2.
n− j+1
Proof.
αi,n = E Xi,n Xi+1,n
0
Z ∞Z ∞ i−1 −x −(n−i)x
n!
= xi 1 − e−xi e ie i+1
dxi+1 dxi
(i − 1)! (n − i + 1)! 0 xi
Z ∞ i−1 −x
n!
= xi 1 − e−xi e i Ixi dxi ,
(i − 1)! (n − i + 1)! 0
where
Z ∞ Z ∞
Ixi = e−(n−i)xi+1
dxi+1 = xi+1 e−(n−i)xi+1 |∞
xi + (n − i) xi+1 e−(n−i)xi+1 dxi+1 .
xi xi
Thus,
Z ∞Z ∞ i−1 −x −(n−i)x
n! (n − i)
αi,n = xi xi+1 1 − e−xi e ie i+1
dxi+1 dxi
(i − 1)! (n − i + 1)! 0 xi
Z ∞ i−1 −(n−i+1)x
n!
− x2i 1 − e−xi e i
dxi
(i − 1)! (n − i + 1)! 0
= (n − i) αi,i+1,n − (n − i) α2i,n .
n!
αi, j−1,n = E Xi,nX 0j−1,n
(i − 1)! ( j − i − 1)! (n − i + 1)!
16 M. Ahsanullah and G.G. Hamedani
Z ∞Z ∞ i−1
× xi 1 − e−xi (e−xi − e−x j ) j−i−1e−xi e−(n− j+1)x j dx j dxi
0 xi
Z ∞ i−1
n!
= xi 1 − e−xi e−xi Jxi dxi ,
(i − 1)! (n − i − 1)! (n − j)! 0
where
Z ∞
Jxi = (e−xi − e−x j ) j−i−1 e−(n− j+1)x j dx j
xi
Z ∞
= (n − j + 1) x j (e−xi − e−x j ) j−i−1 e−(n− j+1)x j dx j
xi
Z ∞
− ( j − i − 1) (e−xi − e−x j ) j−i−2 e−(n− j+2)x j dx j .
xi
Thus,
Z ∞ i−1
n!
αi, j−1,n = xi 1 − e−xi e−xi
(i − 1)! ( j − i − 1)! (n − j)! 0
Z ∞
−xi −x j j−i−1 −(n− j+1)x j
·[(n − j + 1) x j (e −e ) e dx j
xi
Z ∞
− ( j − i − 1) (e−xi − e−x j ) j−i−2e−(n− j+2)x j dx j ]dxi
xi
= (n − j + 1) αi, j,n − (n − j + 1) αi−1, j,n .
Let
f 1,...,r−1,r+1,...,n|r (x1 , . . ., xr−1, xr+1 , . . ., xn|v)
denote the joint conditional pd f of order statistics X1,n , . . ., Xr−1,n ,
Xr+1,n, . . ., Xn,n given that Xr,n = v. We suppose that fr:n (v) > 0 for this value of
Order Statistics 17
v, where fr:n ,as usual, denotes the pd f of Xr,n. The standard procedure gives us
the required pd f :
Finally, we would like to present Fisher’s Information, I, for the order statis-
tics from E (λ). Fisher’s Information for a continuous random variable X with
pd f f (x, λ) and parameter λ, under certain regularity conditions, is given by
2
∂
I = −E ln ( f (X, λ)) .
∂λ2
The exponential distribution E (λ) satisfies the regularity conditions and the
Fisher’s Information for order statistics from this distribution are as follows:
For X1,n ,
∂2 −λnX 1
I1 = −E ln nλe = 2.
∂λ 2 λ
For X2,n ,
∂2
I2 = −E ln{n(n − 1)λ(1 − e−λX )e−λ(n−1)X }
∂λ2
" #
1 X 2 e−λX
=E 2+
λ (1 − e−λX )2
18 M. Ahsanullah and G.G. Hamedani
Z ∞
" #
1 x2 e−λx
= + n(n − 1)λ(1 − e−λx )e−λ(n−1)xdx
0 λ2 (1 − e−λx )2
∞ Z
1 x2
= + n(n − 1)λ e−λnx dx
λ2 0 1 − e−λx
1 2n(n − 1) ∞ 1
= 2+
λ λ2 ∑ (n + k)3 .
k=0
E [Xr,n ] = µ + αr σ, r = 1, 2, . . ., n,
Var [Xr,n] = vrr σ , 2
r = 1, 2, . . ., n,
Cov (Xr,n , Xs,n ) = Cov (Xs,n , Xr,n ) = vrs σ2 , 1 ≤ r < s ≤ n.
Let
X 0 = (X1,n, X2,n , . . ., Xn,n) .
We can write
E [X α,
X ] = µ11 + σα (2.2.1)
where
1 = (1, 1, . . ., 1)0 ,
α = (α1, α2, . . ., αn)0 ,
and
X ) = σ2 ∑,
Var (X
where ∑ is a matrix with elements vrs , 1 ≤ r ≤ s ≤ n.
Then the MVLUEs of the location and scale parameters µ and σ are
1 n 0 −1 o
α ∑ (αα10 − 1α 0 ) ∑
−1
µ̂ = X, (2.2.2)
∆
and
1 n 0 −1 o
1 ∑ (11α 0 − α 10 ) ∑
−1
σ̂ = X, (2.2.3)
∆
where 2
∆ = α 0 ∑ α 1 0 ∑ 1 − α0 ∑ 1 .
−1 −1
and
σ2 α0 ∑−1 1
Cov (µ̂,σ̂) = − . (2.2.6)
∆
The following lemma (see Garybill, 1983, p. 198) will be useful in finding
the inverse of the covariance matrix.
and
σi j = 0, if |i − j| > 1.
Let
(
1
σ exp (− (x − µ) /σ), −∞ < µ < x < ∞, 0 < σ < ∞,
f (x) =
0, otherwise.
and
r
1
Cov (Xr,n , Xs,n ) = σ2 ∑ , 1 ≤ r ≤ s ≤ n.
j=1 (n − j + 1)2
Order Statistics 21
where
r
1
cr = ∑ (n − j + 1)2 , 1 ≤ r ≤ n,
j=1
and
ds = 1, 1 ≤ s ≤ n.
Using Lemma 2.2.1, we obtain
σ j j = (n − j)2 + (n − j + 1)2 , j = 1, 2, . . ., n,
σ j+1 j
=σ j j+1
= (n − j) , 2
j = 1, 2, . . ., n − 1,
and
σi j = 0, if |i − j| > 1, i, j = 1, 2, . . ., n.
It can easily be shown that
10 ∑ α0 ∑
−1 −1
= n2, 0, 0, . . ., 0 , = (1, 1, . . ., 1)
and
∆ = n2 (n − 1) .
The MVLUEs of the location and scale parameters µ and σ are respectively
nX1,n − X
µ̂ = , (2.2.7)
n−1
and
n X − X1,n
σ̂ = , (2.2.8)
n−1
where X = ∑r=1n r,n .
n
X
σ2
Var [µ̂] = , (2.2.9)
n (n − 1)
22 M. Ahsanullah and G.G. Hamedani
σ2
Var [σ̂] = , (2.2.10)
n−1
and
σ2
Cov (µ̂, σ̂) = − . (2.2.11)
n (n − 1)
The remainder of this section will be devoted to MVLUEs based on cen-
sored samples. We consider the case, when some smallest and largest obser-
vations are missing. In this situation we construct the MVLUEs for location
and scale parameters. Suppose now that the smallest r1 and largest r2 of these
observations are lost and we can deal with order statistics
E [Xr,n ] = µ + αr σ,
Var [Xr,n ] = vrr σ2 , r1 + 1 ≤ r ≤ n − r 2 ,
Cov (Xr,n , Xs,n ) = vrs σ ,
2
r1 + 1 ≤ r, s ≤ n − r2 .
and o
1 n 0 −1
∑ (1 − 1 ) ∑ X,
−1
σ̂ = 1 1 α 0
α 0
(2.2.13)
∆
where 2
∆ = α0 ∑ α 10 ∑ 1 − α0 ∑ 1 .
−1 −1 −1
and
αr1+1 σ2
Cov µˆ∗ , σˆ∗ = − .
n − r2 − r 1 − 1
Sarhan and Greenberg (1967) prepared tables of the coefficients, Best Linear
Unbiased Estimators (BLUEs), variances and covariances of these estimators
for n up to 10.
and
r
1
Cov (Xr,n , Xs,n ) = σ2 ∑ , 1 ≤ r ≤ s ≤ n.
j=1 (n − j + 1)2
To obtain MVLUEs for the case, when r1 + r2 observations are lost, we
need to deal with the covariance matrix ∑ of size (n − r1 − r2 ) × (n − r1 − r2 ),
elements of which coincide with
where
r
1
cr = ∑ (n − j + 1)2 ,
j=1
and
ds = 1.
We can obtain the inverse matrix ∑−1 using Lemma 2.2.1 as
∑
−1
(n − r1 − 1)2 + 1/cr1 +1 − (n − r1 − 1)2 ... 0
− (n − r1 − 1)2
(n − r1 − 2)2 + (n − r1 − 1)2 ... 0
0 − (n − r1 − 2)2 ... 0
=
0 0 ... 0 ,
.. ..
. . ... 0
0 0 . . . − (r2 + 1)2
0 0 . . . (r2 + 1)2
where
and
σi j = 0, for |i − j| > 1, i, j = 1, 2, . . ., n − r1 − r2 .
26 M. Ahsanullah and G.G. Hamedani
α = (αr1+1 , . . ., αn−r2 )0 ,
where
r
1
αr = E [(Xr,n − µ) /σ] = ∑ n− j+1.
j=1
1 n 0 −1 0 −1 0 −1 0 −1 o
σˆ∗ = 1 ∑ 1 α ∑ −11 ∑ α1 ∑ X
∆ ( )
n−r2
1
n − r2 − r1 − 1 j=r∑
= X j,n − (n − r1 )Xr1 +1,n + r2 Xn−r2,n .
1 +1
For the derivation of the limiting distribution of X1,n , we need the following
lemma.
Theorem 2.4.3. Let X1, X2, . . ., Xn be n i.i.d. rv0 s with cd f F and Xn−k+1,n
be their (n − k + 1)th order statistic. If for some stabilizing constants a n and bn
(an + bn x → ∞ as n → ∞), F n (an + bn x) → T (x) as n → ∞, for all x, for some
distribution T (x), then
k−1
P (Xn−k+1,n ≤ an + bn x) → ∑ T (x) (− ln T (x)) j / j! as n → ∞,
j=0
Thus, for each fixed x, the RHS of the above equality can be considered as
the value of a binomial cd f with parameters n and cn (x) /n at k − 1. Since
F n (an + bn x) → T (x), as n → ∞, we have
n ln [1 − (1 − F (an + bn x))] ∼
= −n (1 − F (an + bn x))
= −cn (x) → T (x) , as n → ∞,
from which we obtain limn→∞ cn (x) = −T (x) uniformly in x. Now, using Pois-
son approximation to binomial, we arrive at
k−1
P (Xn−k+1,n ≤ an + bn x) → ∑ T (x) (− ln T (x)) / j!, as n → ∞, for all x.
j=0
Order Statistics 29
For the special case of i.i.d. ∼ E (1) rv0 s with an = ln n and bn = 1, we have
F n (a −e−x , as n → ∞ , for all x ≥ 0. We will then have
n + bn x) → e
k−1 − jx
e
∑
−x
P(Xn−k+1,n ≤ an + bn x) → e−e , as n → ∞, for all x ≥ 0.
j=0 j!
k−1
j
− ln G (x)
P (Xk,n > an + bn x) → ∑ G (x) , as n → ∞, for any fixed k and all x.
j=0 j!
Again, for the special case of i.i.d. ∼ E (1) rv0 s with an = 0 and bn = 1/n,
n n
we have F (an + bn x) → e−x as n → ∞. But, in this case F 0 + 1n x = e−x for
all n, and hence we will have
k−1
j k−1
− ln G (x) xj
P (Xk,n > an + bn x) = ∑ G (x) = ∑ e−x , for all x and all n.
j=0 j! j=0 j!
Chapter 3
Record Values
The cd f
Z x Z y ∞
F3 (x) = P XU(3) ≤ x =
−∞ −∞
∑ (F (u)) j R (u) dF (u)dF (y)
j=0
Z x Z y Z x
R (u) (R (u))2
= dF (u) dF (y) = dF (u). (3.2.3)
−∞ −∞ 1 − F (u) −∞ 2!
The pd f f 3 of XU(3) is
(R (x))2
f 3 (x) = f (x) . (3.2.4)
2!
It can similarly be shown that the cd f Fn of XU(n) is
Z x
(R (u))n−1
Fn (x) = dF (u), −∞ < x < ∞. (3.2.5)
−∞ (n − 1)!
and
n−1
(R (x)) j n−1
(R (x)) j
F n (x) = 1 − Fn (x) = F (x) ∑ = e−R(x) ∑ .
j=0 j! j=0 j!
Record Values 33
The pd f f n of XU(n) is
(R (x))n−1
fn (x) = f (x) , −∞ < x < ∞. (3.2.6)
(n − 1)!
F(x)
Note that F n (x) − F n−1 (x) = f (x)
f n (x), and for E (λ), F n (x) − F n−1 (x) =
λn−1 xn−1 −λx
Γ(n) e .
A rv X is said to be symmetric about zero if X and −X have the same
distribution function. If f is their pd f , then f (x) = f (−x) for all x. Two
rv0 s X and Y with cd f 0 s F and G are said to be mutually symmetric if F (x) =
1 − G (x) for all x, or equivalently if their corresponding pd f 0 s f and g exist,
then f (−x) = g (x) for all x. If a sequence of i.i.d. rv0 s are symmetric about
zero, then they are also mutually symmetric about zero but not conversely. It is
easy to show that for a symmetric or mutually symmetric (about zero) sequence
(Xn)n≥1 of i.i.d. rv0 s, XU(n) and XL(n) are identically distributed.
The joint pd f f (x1, x2 , . . ., xn) of the n record values XU(1), XU(2), . . ., XU(n)
is given by
f (x1 , x2 , . . ., xn )
n−1
= ∏ r (x j ) f (xn ), −∞ < x1 < x2 < · · · < xn−1 < xn < ∞, (3.2.7)
j=1
where, as before,
d f (x)
r (x) = R (x) = , 0 < F (x) < 1.
dx 1 − F (x)
The joint pd f of XU(i) and XU( j) is
fi j (xi , x j )
f (x j |xi ) =
fi (xi )
[R (x j ) − R (xi )] j−i−1 f (x j )
= · , for − ∞ < xi < x j < ∞. (3.2.9)
( j − i − 1)! 1 − F (xi )
For j = i + 1
f (xi+1 )
f (xi+1 |xi ) = , for − ∞ < xi < xi+1 < ∞. (3.2.10)
1 − F (xi )
For i > 0, 1 ≤ k < m, the joint conditional pd f of XU(i+k) and XU(i+m) given
XU(i) is
f(i+k)(i+m) x, y|XU(i) = z
1 1 f (y) r (x)
= · [R (y) − R (x)]m−k−1 [R (x) − R (z)]k−1 ,
Γ (m − k) Γ (k) F (z)
for − ∞ < z < x < y < ∞.
The marginal pd f of the nth lower record value can be derived by using the
same procedure as that of the nth upper record value. Let H (u) = − ln F (u),
d
0 < F (u) < 1 and h (u) = − du H (u), then
Z x(H (u))n−1
P XL(n) ≤ x = dF (u), (3.2.11)
−∞ (n − 1)!
(H (x))n−1
f (n) (x) = f (x) . (3.2.12)
(n − 1)!
The joint pd f of XL(1) , XL(2), . . ., XL(m) can be written as
f(1)(2)...(m) (x1 , x2 , . . ., xm )
(
j=1 h (x j ) f (xm ) , −∞ < xm < xm−1 < · · · < x1 < ∞,
∏m−1
= (3.2.13)
0, otherwise.
Record Values 35
and
r (x) = f (x) / (1 − F (x)) = σ−1 . (3.2.16)
Again, as before, we will denote the ex-
ponential distribution with pd f (3.2.15) with
E (µ, σ), the exponential distribution (µ = 0, σ = 1/λ) with E (λ), and the
standard exponential distribution with E (1) .
For E (µ, σ),the joint pd f of XU(m) and XU(n), m < n is
f m,n (x, y)
( −n n−m−1
σ m−1 (y−x)
Γ(n−m) exp −σ (y − µ) , µ ≤ x < y < ∞,
−1
= Γ(m) (x − µ) (3.2.17)
0, otherwise.
It is easy to see that,in this case, XU(n) − XU(n−1) and XU(m) − XU(m−1) are
i.d. for 1 < m < n < ∞.
36 M. Ahsanullah and G.G. Hamedani
d
It can be shown that XU(m) = XU(m−1) +U, (m > 1) where U is independent
of XU(m) and XU(m−1) and is identically distributed as X1 if and only if X1 ∼
E (λ). For E (1)with n ≥ 1,
Z ∞Z ∞ xn−1 −y
P XU(n+1) > wXU(n) = e dydx
0 wx Γ (n)
Z ∞ n−1
x
= e−wx dx = w−n .
0 Γ (n)
The conditional pd f of XU(n) given XU(m) = x is
( n−m−1
σm−n (y−x) exp −σ −1 (y − x) , µ ≤ x < y < ∞,
f (y|x) = Γ(n−m) (3.2.18)
0, otherwise.
Thus, P XU(n) − XU(m) = y|XU(m) = x does not depend on x. It can be shown
that if µ = 0, then XU(n) − XU(m) is identically distributed as XU(n−m), m < n.
We take µ = 0 and σ = 1 and let Tn = ∑nj=1 XU( j) . Since
Tn = XU(n) − XU(n−1) + 2 XU(n−1) − XU(n−2) + · · ·
+ (n − 1) XU(2) − XU(1) + nXU(1)
n
= ∑ jW j,
j=1
Theorem 3.2.1. Let (Xn )n≥1 be a sequence of i.i.d. rv0 s with the standard
XU( j)
exponential distribution. Suppose ξ j = XU( j+1) , j = 1, 2, . . ., m − 1, then ξ0 s are
independent.
Record Values 37
αm em−1
f (e0 , e1 , . . ., em−1) = m−1
0
e−(e0 /(e1 e2 ···em−1 )) .
em
1 e2 · · ·e2m−1
Now, integrating the above expression with respect to e0 , we obtain the joint
pd f of ξ j , j = 1, 2, . . ., m − 1, as
P (ξ j ≤ x) = x j , 1 ≤ j ≤ m.
Finally, the Fisher’s Information for the nth record of E (λ) is n/λ2.
38 M. Ahsanullah and G.G. Hamedani
and
Cov XU(n), XU(m) = m, m < n. (3.3.1)
For m < n,
h i Z ∞Z u 1 1
p q
E XU(n) XU(m) = · uqe−x vm+p−1 (u − v)n−m−1 dvdu.
0 0 Γ (m) Γ (n − m)
Substituting tu = v and simplifying we get
h i
p q
E XU(n) XU(m)
Z ∞Z ∞
1 1
= · un+p+q−1 e−xt m+p−1 (1 − t)n−m−1 dtdu
0 0 Γ (m) Γ (n − m)
Γ (m + p) Γ (n + p + q)
= .
Γ (m) Γ (n + p)
h i h i h i
k+1 k+1 k
E XU(n) = E XU(n−1) + (k + 1) E XU(n) , (3.3.2)
Record Values 39
Upon integration by parts, treating xk for integration and the rest of the integrand
for differentiation, we obtain
h i
k
E XU(n)
Z ∞ Z ∞
1 k−1 n−1 k+1 n−2
= x (R (x)) f (x) dx − (n − 1) x (R (x)) f (x) dx
(k + 1) Γ (n) 0 0
Z ∞ Z ∞
1 k+1 1 n−1 k+1 1 n−2
= x (R (x)) f (x) dx − x (R (x)) f (x) dx
k+1 0 Γ (n) 0 Γ (n − 1)
1 n h k+1 i h
k+1
io
= E XU(n) − E XU(n−1) ,
k+1
which, when rewritten, gives the recurrence relation (3.3.2). Then repeated
application of (3.3.2) will derive the recurrence relation (3.3.3).
Remark 3.3.2. The recurrence relation (3.3.2) can be used in a simple way
to compute all the simple moments of all the record values. Once again, using
property that f (x) = 1 − F (x), we can derive some simple recurrence relations
for the product moments of record values.
and for 1 ≤ m ≤ n − 2, p, q = 0, 1, 2, . . .
h i h i h i
p q+1 p q+1 p q
E XU(m) XU(n) = E XU(m) XU(n−1) + (q + 1) E XU(m) XU(n) , (3.3.5)
Upon performing integration by parts, treating yq for integration and the rest of
the integrand for differentiation, we obtain, when n = m + 1, that
Z ∞
1 q+1 q+1
I (x) = y f (y) dy − x (1 − F (x)) ,
q+1 x
and when n ≥ m + 2, that
Z ∞
1
I (x) = yq+1 {R (y) − R (x)}n−m−1 f (y) dy
q+1 x
Z ∞
q+1 n−m−2
− (n − m − 1) y {R (y) − R (x)} f (y) dy .
x
and for 1 ≤ m ≤ n − 2
h i q+1 h i
E XU(m) XU(n) = ∑ (q + 1)( j) E XU(m) XU(n−1) ,
p q+1 p q+1− j
j=0
where
Remark 3.3.7. The recurrence relations (3.3.4) and (3.3.5) can be used in
a simple way to compute all the product moments of all record values.
where
Z y
J (y) = x p {− ln (1 − F (x))}m−1
0
f (x)
× {− ln (1 − F (x)) + ln (1 − F (y))}n−m−1 dx
1 − F (x)
Z ∞
= x p {− ln (1 − F (x))}m−1 {− ln (1 − F (x)) + ln (1 − F (y))}n−m−1 dx,
0
1 h p+1 i
J (y) = y {− ln (1 − F (y))}m+1
p+1
Z y
f (x)
− (m − 1) x p+1 {− ln (1 − F (x))}m−2 dx,
0 1 − F (x)
Record Values 43
j=m
j=0
44 M. Ahsanullah and G.G. Hamedani
It is also important to mention here that this approach can easily be adopted
to derive recurrence relations for product moments involving more than two
record values.
Suppose XU(1) , XU(2) , . . ., XU(m) are the m record values from an i.i.d.
se-
quence of rv0 s with common cd f E (µ, σ). Let Yi = σ−1 XU(i) − µ , i =
1, 2, . . ., m. Then
E [Yi ] = i = Var [Yi ] , i = 1, 2, . . ., m,
and
Cov (Yi ,Y j ) = min{i, j}.
Let
X = XU(1), XU(2), . . ., XU(m) ,
then
L + σδδ ,
X ] = µL
E [X
X ] = σ2V ,
Var [X
where
L = (1, 1, . . ., 1)0 , δ = (1, 2, . . ., m)0 ,
V = (Vi j ) , Vi j = min {i, j}, i, j = 1, 2, . . ., m.
The inverse V −1 = V i j can be expressed as
2 if i = j = 1, 2, . . ., m − 1,
1 if i = j = m,
Vij =
−1 if |i − j| = 1, i, j = 1, 2, . . ., m,
0, otherwise.
Record Values 45
where 2
∆ = L0 V −1 L δ0V −1 δ − L0 V −1 δ ,
and
Var [µ̂] = σ2 L 0V −1 δ / ∆,
Var [σ̂] = σ2 L 0V −1 L / ∆,
Cov (µ̂, σ̂) = −σ2 L 0V −1 δ / ∆.
δ V −1 = (0, 0, . . ., 0, 1),
0
L 0V −1 = (1, 0, 0, . . ., 0),
δ 0V −1 δ = m and ∆ = m − 1.
with
The best linear invariant (in the sense of minimum mean squared error and
µ, σ
invariance with respect to the location parameter µ) estimators, BLIEs, e e of
µ and σ are
E12
µ = µ̂ − σ̂
e ,
1 + E12
46 M. Ahsanullah and G.G. Hamedani
and
σ
e = σ̂/ (1 + E12 ) ,
where µ̂ and σ̂ are MVLUEs of µ and σ and
Var[µ̂] Cov (µ̂, σ̂) E11 E12
= σ2 .
Cov (µ̂, σ̂) Var[σ̂] E21 E22
and
MSE[σ
e ] = σ2 E22 (1 + E22 )−1 .
We have
µ − µ) (σ
E [(e e − σ)] = σ2 E12 (1 + E22 )−1 .
Using the values of E11 , E12 and E22 from (3.4.2), we obtain
e
µ = (m + 1) XU(1) − XU(m) /m,
σ
e = XU(m) − XU(1) /m,
µ] = σ2 m2 + m − 1 /m,
Var [e
and
Var [σ
e ] = σ2 (m − 1) /m2 .
ˆ = µ̂ + σ̂α∗ +W
XU(s) W 0V −1 (X L − σ̂δδ ),
X − µ̂L
E[X̂U(s) ] = µ + sσ,
Var[X̂U(s) ] = σ2 m + s2 − 2s / (m − 1) ,
MSE[X̂U(s) ] = E[(X̂U(s) − XU(s) )2 ] = σ2 (s − m) (s − 1) / (m − 1) .
Let XeU(s) be the best linear invariant predictor of XU(s) . Then it can be shown
that
eU(s) = X̂U(s) −C12 (1 + E22 )−1 σ̂,
X (3.5.2)
where
C12 σ2 = Cov σ̂, L −W
W 0V −1 L µ̂ + α∗ −W
W 0V −1 δ σ̂
and
σ2 E22 = Var[σ̂].
Upon simplification, we get
and
MSE[Xˆ U(s) ] = E[(Xˆ U(s) − XU(s) )2] = (s − m) σ2 .
We like to mention also that by considering the mean squared errors of
eU(s) and Xˆ U(s) , it can be shown that
X̂U(s) , X
Let Z x
1 2 /2
Φ (x) = √ e−t dt.
2π −∞
The following table gives values of pn (x) for various values of n and x
and values of Φ (x) for comparison.
Record Values 49
n + ln Γ (n) − ln λ − (n − 1) ψ (n) ,
where ψ (n) is the digamma function, ψ (n) = Γ0 (n)/Γ (n). To see this we ob-
serve that pd f of XU(n) is given by
λn n−1 −λx
fn (x) = x e , x ≥ 0,
Γ (n)
En = E [− ln XU (n)]
Z λ n
λ
= e−λx (ln Γ (n) − n ln λ + λx − (n − 1) ln x) dx
0 Γ (n)
= ln Γ (n) − n ln λ + n − (n − 1) {− ln λ + ψ (n)}
= n + ln Γ (n) − ln λ − (n − 1) ψ (n).
Chapter 4
In this chapter we will consider some of the basic properties of the generalized
order statistics from exponential distribution. We shall present some inferences
based on the distributional properties of the generalized order statistics.
4.1. Definition
The concept of generalized order statistics (gos) was introduced by Kamps
(1995) in terms of their joint pd f . The order statistics, record val-
ues and sequential order statistics are special cases of the gos. The rv0 s
X (1, n, m, k), X (2, n, m, k), . . ., X (n, n, m, k), k > 0, m ∈ R, are n gos from
an absolutely continuous cd f F with corresponding pd f f if their joint pd f
f1,2,...,n (x1 , x2 , . . ., xn ) can be written as
Lemma 4.2.1. Let (Xi )i≥1 be a sequence of i.i.d. rv0 s from E (µ, σ), then
d Wj
γ1X (1, n, m, k) ∼ E (µγ1, σ) and X (s, n, m, k) = µ + σ ∑sj=1 γj , where
W j ∼ E (0, 1) = E (1) for all j 0 s.
Ms,n,m,k (t)
Z ∞
cs−1 −1 −1
= etx · σ−1 e−σ (x−µ)γs gs−1
m 1 − e−σ (x−µ) dt
µ (s − 1)!
Z ∞ s−1
cs−1 µt −(γs −σt)y 1
= e e (1 − exp (− (m + 1) y)) dy. (4.2.3)
(s − 1)! 0 m+1
Using the following property (see, Gradsheyn and Ryzhik, (1980), p. 305)
Z ∞ s−1 1 a
e−ay 1 − e−by dy = B , s ,
0 b b
where B (·, ·) is the Beta function, and the fact that γs + j (m + 1) = γs− j , we
obtain from (4.2.3)
s
cs−1 µt (s − 1)! σt −1
Ms,n,m,k (t) = e = e ∏ 1−
µt
. (4.2.4)
(s − 1)! ∏s γ 1 − σt j=1 γj
j=1 j γj
Thus
s
Wj
X (s, n, m, k) = µ + σ ∑
d
. (4.2.5)
j=1 γ j
For X ∼ E (µ, σ) , we have from (4.2.5), E [X (s, n, m, k)] = µ + σ ∑sj=1 γ1j and
the recurrence relation
σ
E [X (s, n, m, k)] − E [X (s − 1, n, m, k)] = .
γs
Let
then for X ∼ E (λ) all the D ( j, n, m, k), j = 1, 2, . . ., n are i.i.d. E (λ). Thus, we
have the obvious recurrence relation
where (
1
(1 − x)m+1 , m 6= 1,
m+1
h (x) =
− ln (1 − x) , m = −1.
Generalized Order Statistics 55
Proof. We have
Z ∞
cs
E [(X (s, n, m, k)) p ] = xp e−γs x gs−1
m 1 − e−x dx
0 (s − 1)!
Z ∞
γs cs
= x p+1 e−γs x gs−1
m 1 − e−x dx
0 (p + 1) (s − 1)!
Z ∞
cs (s − 1)
− x p+1 e−γs x gs−2
m 1 − e−x e−(m+1) dx
0 (p + 1) (s − 1)!
γs n h io
= E (X (s, n, m, k)) p+1 − E (X (s − 1, n, m, k)) p+1 ,
(p + 1)
For k = 1 and m = −1, Theorem 4.2.3 coincides with Theorem 3.3.1. For
k = 1 and m = 0, we obtain
h i h i p+1
E (Xs,n ) p+1 = E (Xs−1,n)p+1 + E [(Xs,n ) p ]
n−s+1
and consequently
h i h i s
p+1
E (Xs,n ) p+1 = E (Xs−1,n) p+1 + ∑ n − j + 1
E [(X j,n )p ] .
j=r+1
that is,
s
1
E [Xs,n ] = ∑ n− j+1.
j=1
Proof. We have
where
Z ∞
1
1 s−r−1
I (x) = yq 1 − e−(m+1)y − 1 − e−(m+1)x e−γs y dy
x m + 1 m + 1
γs
Z ∞
1 1 s−r−1
= yq+1 1 − e−(m+1)y − 1 − e−(m+1)x e−γs y dy
q+1 x m+1 m+1
1
Z ∞
1 1 s−r−2
q+1 −(m+1)y −(m+1)x
− y 1−e − 1−e e−γs−1 y dy.
q+1 x m+1 m+1
Thus,
h i
E (X (r, n, m, k)) p (X (s, n, m, k))q+1
h i
= E (X (r, n, m, k)) p (X (s − 1, n, m, k))q+1
q+1
+ E [(X (r, n, m, k)) p (X (s, n, m, k))q ].
γs
For k = 1 and m = −1, Theorem 4.2.4 coincides with Theorem 3.3.3. For
k = 1 and m = 0, we obtain from Theorem 4.2.4
p q+1 h i q h i
p q+1 p q
E Xr,n Xs,n = E Xr,n Xs−1,n + E Xr,n Xs−1,n .
n−s+1
Estimation of µ and σ
Minimum Variance Linear Unbiased Estimators (MVLUEs)
† †
Lemma 4.2.5. Let µ and σ be the MVLUEs of µ and σ respectively, based
on n gos X (1, n, m, k), X (2, n, m, k), . . ., X (n, n, m, k) from an absolutely contin-
uous cd f F with pd f f . Then
† †
µ = X (1, n, m, k)− (σ/γ1 )
and
" #
n
1
∑ (γ j − γ j+1 ) X ( j, n, m, k)− γ1 X (1, n, m, k)
†
σ= , with γn+1 = 0,
n−1 j=1
† †
Var µ = nσ2 / (n − 1) γ21 ,Var σ = σ2 / (n − 1) ,
† †
Cov µ, σ = −σ2 / (n − 1) γ1.
E [X (s, n, m, k)] = µ + αs σ,
Var [X (s, n, m, k)] = σ2Vs, for 1 ≤ s ≤ n,
58 M. Ahsanullah and G.G. Hamedani
then
α,
X ] = µ1 + σα
E [X
Cov (X ( j, n, m, k), X (i, n, m, k)) = σ2Vi, 1 ≤ i < j ≤ n,
X ] = σ2V ,
Var [X
† †
The MVLUEs µ and σ respectively are (see, David, (1981))
†
α0V −1 (11α 0 − α 1 0 )V
µ = −α V −1 X / ∆,
†
σ = 1 0V −1 (11α 0 − α 10 )V
V −1 X / ∆,
where
α 0V −1 α) − (110V −1 α ) .
∆ = (11 0V −1 1 )(α
2
We also have
† †
Var µ = σ2 α 0V −1 α, Var σ = σ2 1 0V −1 1 /∆,
and
† †
Cov µ, σ = −σ2 1 0V −1α /∆.
Generalized Order Statistics 59
1 0V −1 = (γ1 , 0, 0, . . ., 0),
α 0V −1 = (γ1 − γ2 , γ2 − γ3 , . . ., γn−1 − γn , γn ) ,
α 0V −1 α = n, 10V −1 1 = γ21 , 10V −1α = γ1 and ∆ = (n − 1) γ21.
Now,
1 0 −1 0
1 0V −1 (11α 0 − α 1 0 )V
V −1X / ∆ =
(11 V 1 α − 1 0V −1 α1 0 )VV −1 X
∆
1 1
= (γ21α0V −1X − γ1 1 0V −1 X ) = α0V −1 X − γ1 X (1, n, m, k)).
(α
∆ n−1
Hence
" #
n
1
∑ (γ j − γ j+1) X ( j, n, m, k)− γ1 X (1, n, m, k)
†
σ= .
n−1 j=1
Thus
†
† σ
µ = −cc 0V −1 (11α0 − α 10 )V
V −1 X /∆ − .
γ1
We have
†
† σ
0
cV −1
1 = 0, c V 0 −1
α = n − 1 and hence µ = X (1, n, m, k)− .
γ1
† †
If k = 1 and m = 0, then γ j = n − j + 1 and µ and σ coincide with MVLUEs
given by order statistics (see, Arnold et al., (1992), p. 176). If k = −1 and
† †
m = 0, then γ j = 1 and µ and σ coincide with MVLUEs given by Ahsanullah,
((1980), p.466).
60 M. Ahsanullah and G.G. Hamedani
† †
The variances and covariance of µ and σ are
† σ2 0 −1
Var µ = (α α V α ) = nσ2 / (n − 1) γ21 ,
∆
† σ2 0 −1
Var σ = (α α V 1) = σ2 / (n − 1) ,
∆
† † σ2 0 −1
Cov µ, σ = − (α α V 1 ) = −σ2 / (n − 1) γ1 .
∆
and
‡
MSE σ = σ2 E22 (1 + E22 )−1 .
Substituting the values of E12 and E22 in the above equations, we have, on sim-
plification, that
‡ † 1 † ‡ n−1 †
µ = µ+ σ and σ = σ,
nγ1 n
‡ n + 1 σ2 ‡ 1
MSE µ = · 2 and MSE σ = σ2 .
n γ1 n
Generalized Order Statistics 61
Prediction of X (s, n, m, k)
We shall assume that s > n. Let η = (η1 , η2 , . . ., ηn ) where
η j = Cov(X (s, n, m, k), X ( j, n, m, k)), j = 1, 2, . . ., n and α∗ =
σ−1 E [X (x, n, m, k) − µ]. The best linear unbiased predictor (BLUP)
† † † †
X̂ (s, n, m, k) of X (s, n, m, k) is X̂ (x, n, m, k) = µ+ α∗ × σ + ηV −1 (X α),
X − µ11 − σα
† †
where µ and σ are the MVLUEs of µ and σ respectively. But α∗ = αs and
η 0 = (V1,V2, . . .,Vn) . It can be shown that η 0V −1 = (0, 0, . . ., 0, 1) and hence
† † † †
X̂ (s, n, m, k) = µ + αs σ + X (n, n, m, k)− µ − αn σ
†
= X (n, n, m, k) + (αs − αn ) σ. (4.2.9)
ˆ
If k = 1 and m = 0, then γ j = n − j + 1 and X (s, n, m, k) coincides with the
BLUP based on the order statistics (see, Arnold et al. (1992), p. 181). If k = 1
and m = −1, then γ j = 1 and X̂ (s, n, m, k) coincides with the BLUP based on
record values (see, Ahsanullah (1980), p. 467).
We have
If k = 1 and m = −1, then the BLUP X̂U(s) of the sth upper record value from
62 M. Ahsanullah and G.G. Hamedani
(4.2.9) is
(x − 1) XU(n) − (s − n) XU(1)
X̂U(s) = , (4.2.10)
(n − 1)
and
E[X̂U(n)] = σ2 m + s2 − 2s / (m − 1) . (4.2.11)
Let Xe (x, n, m, k) be the best linear invariant predictor of X (s, n, m, k). Then
c∗12 †
e (s, n, m, k) = X̂ (s, n, m, k) −
X σ, (4.2.12)
1 + c22
where
† † † †
c∗12 σ2 = Cov(σ, 1 − η 0 V −1 1 µ + α∗ − ηV −1 α σ) and c22 σ2 = Var[σ].
It can easily be shown that c∗12 = (αs − αn ) / (n − 1) and since c22 = 1/ (n − 1),
c∗
we have 1+c1222 = αs −α n
n . Thus
and
( 2 )
n−1 1
Var[Xe (s, n, m, k)] = σ2 Vn + (αs − αn ) 2
n n−1
n−1
= σ2 γs − γn + 2 (αs − αn )2 . (4.2.15)
n
Thus,
Characterizations of
Exponential Distribution I
5.1. Introduction
The more serious work on characterizations of exponential distribution based
on the properties of order statistics, as far as we have gathered, started in early
sixties by Ferguson (1964,1965), Tanis (1964), Basu (1965), Crawford (1966)
and Govindarajulu (1966). Most of the results reported by these authors were
based on the independence of suitable functions of order statistics. Chan (1967)
reported a characterization result based on the expected values of extreme order
statistics. The goal of this chapter is first to review characterization results re-
lated to the exponential distribution based on order statistics (Section 5.2) and
then based on generalized order statistics (Section 5.3). We will discuss these
results in the chronological order rather than their importance. We apologize in
advance if we missed to report some of the existing pertinent results.
Let X1and X2 be two i.i.d. random variables with common cd f F (x) and let
X(1) = min {X1, X2 } and X(2) = max {X1 , X2 } . Basu (1965) showed that if F (x)
is absolutely continuous with F (0) = 0, then a necessary and sufficient condi-
tion for F to be the cd f of an exponential random variable with parameter λ,
is that the random variables X(1) and X(2) − X(1) are independent. Freguson
(1964) and Crawford (1966) also used the property of independence of X(1) and
(X1 − X2 ) to characterize the exponential distribution. Puri and Rubin (1970)
66 M. Ahsanullah and G.G. Hamedani
showed that X(2) − X(1) ∼ X1 (∼ means having the same distribution) charac-
terizes the exponential distribution among the class of absolutely continuous
distributions. Seshardi et al. (1969) reported a characterization of the expo-
nential distribution based on the identical distribution of an (n − 1)-dimensional
random vector of random variables Vr = Sr /Sn, r = 1, 2, . . ., n − 1, where Sr is
the rth partial sum of the random sample, and vector of order statistics of n − 1
i.i.d. U (0, 1) random variables. Csörgö et al. (1975) and Menon and Seshardi
(1975) pointed out that the proof given in Seshardi et al. was incorrect and
presented a new proof. Puri and Rubin (1970) established a characterization
of the exponential distribution based on the identical distribution of Xs,n − Xr,n
and Xs−r,n−r (these rv0 s will be defined in the next paragraph) . Rossberg (1972)
gave a more general result when s = r + 1, which will be stated in the following
section. A different type of result characterizing the exponential distribution
based on a function of the order statistics having the same distribution as the
one sampled was established by Desu (1971), which is stated in the following
section as well.
Let X1 , X2, . . ., Xn be a random sample from a random variable X with cd f F.
Let
X1,n ≤ X2,n ≤ · · · ≤ Xn,n ,
be the corresponding order statistics. As pointed out by Gather et al. (1997),
”the starting point for many characterizations of exponential distribution via
identically distributed functions of order statistics is the well-known result of
Sukhatme (1937): The normalized spacings
F ∼ E (λ) implies that D1,n, D2,n, . . ., Dn,n are i.i.d. ∼ E (λ). (5.1.2)”
Theorem 5.2.2. Let supp(F) = (0, ∞). Then X1 ∼ E (λ) if and only if
ni X1,ni ∼ E (λ) for 1 < n1 < n2 with ln n1/ ln n2 irrational.
for any k ∈ N (the set of all positive integers ) such that 1 ≤ k ≤ n, where the Y j0 s
( j = 1, 2, . . ., k) are i.i.d. with cd f F.
Theorem 5.2.4. Let α (F) = inf{x : F (x) > 0} > −∞. Suppose that for
R ∞ −sx r−1
some fixed r, n ∈ N, 2 ≤ r ≤ n, the Laplace transform α e dF (x) is non-
zero for all s ∈ C (the set of all complex numbers ) with Re(s) > 0. Then
Dr,n ∼ E (1) if and only if X 1 − α (F) ∼ E (1) .
Rossberg pointed out that the assumption concerning the Laplace transform
cannot be dropped since Dr,n ∼ E (1) is satisfied by underlying distributions
68 M. Ahsanullah and G.G. Hamedani
other than exponential. He then gave the following example to demonstrate this
point. Let
4 √
F (x) = 1 − e−x 1 + 2 (1 − cos (αx)) , α ≥ 2 2, x ≥ 0,
α
then Dr,n ∼ E (1) , but the corresponding Laplace transform has zeros in {s ∈ C :
Re (s) > 0}.
We would like to point out that Arnold’s result (Theorem 5.2.2 above) re-
quires kX1,k ∼ E (λ) for two different values of k and Gupta (1973) requires
“limx→0 (F (x) /x) = λ for some 0 < λ < ∞”. Furthermore, Huang (1974)
showed that Desu’s (1971) result is readily improved by special cases of char-
acterization theorems in Chan (1967) and Huang (1974) as follows:
Theorem 5.2.5∗ . If F does not degenerate at the origin and if (i) nX1,n and
X1are i.d. for some n ≥ 2, and (ii) E [nX1,n] = E [X1 ] for the other n 0 s, then F is
exponential.
Theorem 5.2.5∗∗. If F does not degenerate at the origin, and if there exists
a real number δ and a positive integer k such that
k
E [Xk,n] = δ ∑ (n − j + 1)−1
j=1
then F is exponential.
Characterizations of Exponential Distribution I 69
Kotz (1974) and Galambos (1975) discussed rather extensively the charac-
terizations of distributions including the exponential distribution by order statis-
tics. Ahsanullah (1975) reported a characterization of the exponential distribu-
tion based on identical distribution of nX1,n and the spacing Xn,n − Xn−1,n and
then generalized his result in his (1976) paper as follows.
Gather (1989) pointed out that the weaker condition of NBU or NWU were
assumed in Theorem 5.2.8. However, there is a gap in the proof and the desired
result can be obtained for the special case r = n.
70 M. Ahsanullah and G.G. Hamedani
and let
(
α α
α be the uniquely determined positive real number with ∑mk=1 ak = c , if m > 1,
α > 0 arbitrary, if m = 1.
(k)
Let the trivial case m = n1 = a1 = 1 be excluded. Let X j
1≤ j≤nk , 1≤k≤m
be i.i.d. random variables with distribution function F satisfying 0 = F (0) <
(k) (k)
F (x) < 1 for some x > 0, and X1,nk = min1≤ j≤nk X j . Then
1/α
!
cnk (k)
min X ∼F
1≤k≤m ak 1,nk
if and only if (
1 − exp (−xα H (− ln x)) , x ≥ 0,
F (x) =
0, x < 0,
1/α
where H is a positive, bounded function with periods A k = ln(cnk /a), 1 ≤ k ≤
m.
Theorem 5.2.13. Let F have mean 1/λ, 0 < λ < ∞, and X1 > 0, n ≥ 3. Let
Sn = ∑ni=1 Xi and V1 = X1/Sn ,V2 = (X1 + X2 ) /Sn. Then F ∼ E (λ) if and only
if (V1,V2) ∼ (U1,n−1,U2,n−1) , where Ui,n−1 , i = 1, 2 are order statistics from
U (0, 1).
72 M. Ahsanullah and G.G. Hamedani
Using failure rates, Ahsanullah (1981) presented the following two charac-
terizations of exponential distribution.
Galambos and Kotz (1983) pointed out that Theorem 5.2.1 is related to an
assertion for the integer part of a random variable as follows.
(t)
Theorem 5.2.18. Let F −1 (0+) ≥ 0, Xi = [Xi /t] + 1, t > 0, i = 1, 2, where
[x] denotes the integer part of x ∈ R. If the distribution of
(t) (t) (t) (t)
min X1 , X2 |X1 + X2 = 2m + 1
Theorem 5.2.19. Let (Xi )i∈N be a sequence of i.i.d. random variables with
cd f F, X1 > 0, F continuous for x ≥ 0, and let limx→0 F (x) /x exist and be fi-
nite. Moreover, let N ≥ 2 be an integer-valued random variable independent of
(Xi )i∈N . Then F ∼ E (λ) for some λ > 0 if and only if NX 1,N ∼ X1.
The following result which is in the spirit (and somewhat stronger than) of
that of Ahsanullah (1984) and of Iwińska (1985) is due to Gather (1988).
Gather (1988) pointed out that the above result was already stated in Ahsan-
ullah (1975). However, in the proof the NBU/NWU property of F was implicitly
used.
Characterizations of Exponential Distribution I 75
Theorem 5.2.24. Let (Xi )i∈N be a sequence of i.i.d. random variables with
cd f F, F −1 (0+) ≥ 0, F (x) < 1 for all x > 0, F IFR or DFR, E [X1] < ∞, and
0 < limx→0+ F (x) /x = λ < ∞. Moreover, let N be a geometrically distributed
random variable independent of (Xi )i∈N . Then F ∼ E (λ) if and only if
N
(1 − p) ∑ Xi ∼ NX1,N .
i=1
Gajek and Gather (1989) improved Theorem 5.2.9 in the sense of not using
Dr,n ∼ Ds,n as a distributional identity, but only required the equality of the
corresponding pd f 0 s or the failure rates at zero. Here is their result.
In Theorem 5.2.16, the equation rDr,n (x) = rX1 (x) is required for all x ≥ 0,
whereas the validity for x = 0 is sufficient, see Gajek and Gather (1989). Gajek
and Gather (1989) also presented characterizations of the exponential distribu-
tion based on identical distributions of Dr,n and Ds,n as well as weaker conditions
for some integers r and s with 1 ≤ r < s ≤ n. These results were later improved
by Kamps and Gather (1997) which we will discuss in more details later in this
section. Gajek and Gather (1989) presented another result using expectations of
Dr,n and Ds,n which extended Ahsanullah’s result (Theorem 5.2.17).
Gather (1989) established the following characterization of the exponential
distribution extending the results reported by Rossberg (1972) and Ahsanullah
(1984).
n−r+1
Clearly, the assumption ‘F is IFR or DFR’ can be replaced by ‘1 − F
is IFR or DFR’. Pudeg (1990) pointed out that this condition in Theorem 5.2.29
can be weakened to ‘1 − (F)n−r+1 is DMRL or IMRL’. She also showed that
Rossberg’s (1972) example still serves as a counterexample. FR does not have
DMRL or IMRL property and hence is neither IFR nor DFR.
Riedel and Rossberg (1994) studied characterization of exponential distribu-
tion via distributional property of a contrast Xr+s,n −Xr,n . Their main assumption
is the asymmetric behavior of the survival function of the contrast. Here is their
result.
The following result is due to Rao and Shanbhag (1994) based on strong
memoryless property characterization of exponential and geometric distribu-
tions, which is an extended version of Ferguson-Crawford result which is
stated as: If X and Y are independent nondegenerate random variables, then
min {X,Y } is independent of X −Y if and only if for some α > 0 and β ∈ R, we
have α (X − β) and α (Y − β) to be either both exponential or both geometric (in
usual sense).
Rao and Shanbhag (1994), gave the following two corollaries of Theorem
5.2.31.
The following interesting remarks are given in Rao and Shanbhag (1998)
concerning Theorem 5.2.31 and Corollaries 5.2.32 and 5.2.33, which are copied
here from theirs.
corollary with min {X,Y } I{min{X,Y }≤y0 } replaced by max {X,Y }I{max{X,Y }≥y0 }
0
and ln X replaced by − ln X holds. This follows because min X −1 ,Y −1 =
(max {X,Y })−1 and max X −1 ,Y −1 = (min {X,Y })−1 . The result that is ob-
served here is indeed a direct extension of Fisz’s (1958) result, and it is yet
another result mentioned in Rao and Shanbhag (1994). (Fisz characterizes
the distribution in question via independence of max {X,Y } / min{X,Y } and
max {X,Y }.)
(ii) Under the assumptions in Theorem 5.2.31, the condition that X −Y and
φ (min {X,Y }) I{min{X,Y }≤y0} be independent is clearly equivalent to that for each
y ∈ (−∞, y0 ] , X − Y be independent of I{min{X,Y }≤y}. (The remark with X − Y
replaced by |X −Y | applies to Corollary 5.2.32, i.e. when we have the assump-
tions as in the corollary.)
Characterizations of Exponential Distribution I 79
The following theorem is due to Rao and Shanbhag (1994) and extends a
result of Shimizu. It is pointed out in Rao and Shanbhag (1998) that Theorem
5.2.35 below is an obvious consequence of their Theorem 2, (1998).
Remark 5.2.36. Franco and Ruiz (1995) defined the “order mean function”
between the adjacent order statistics Xk,n and Xk+1,n by
Z x
1
ξ (x) = E [h (Xk,n) |Xk+1,n = x] = h (y) d (F (y))k ,
(F (x))k −∞
whose domain of definition is the set (α, ∞), where α may be −∞, h is a given
real, continuous and strictly monotone function and F ∈ F , the set of contin-
uous distributions for which the integral on the RHS of the above equation is
finite for all x ∈ R. They used this concept to characterize certain continuous
distributions of which, in the special case of h (x) = x and ξ (x) = x + b ( ξ (x)
corresponds to F (x) in the above equation) is the exponential distribution.
Rao and Shanbhag (1998) pointed out that they proved the above theorem
when r, n ≥ 5 in their (1995b) paper and the result for r = n = 3, 4 follows from
certain uniqueness theorem on the problem, established in their (1995b) paper.
They also mentioned that Theorem 5.2.37 for r, n ≥ 5 was proved independently
via a different argument by Xu and Young (1995). This will be pointed out
below.
Following Xu and Yang (1995)’s Introduction, the characterization problem
for the case r = n, has been studied by Seshardi et al. (1969) and Dufour et
al. (1984). Dufour’s conjecture has been partially answered by Leslie and van
Eeden (1993), who showed that the conjecture is true for (2/3) n+1 ≤ r ≤ n−1,
but the case r < (2/3)n = 1 has not been determined as of 1995. Xu and Yang
(1995) showed that the conjecture is true when r ≥ 5 indicating that their lower
bound is independent of the sample size n, whereas in Leslie and van Eeden
(1993) the lower bound increases with n. The cases r = 2, 3 and 4 are, as of
1995, still not determined. Menon and Seshardi (1975) have shown that for
r = n = 2 the conjecture is false. So, it is assumed that n ≥ 3. If, however, cd f
of X1 belongs either to the class of NBU or NWU distributions, then Dufour’s
conjecture is true for r ≥ 2.
It seems that Xu and Young were not aware of Rao and Shanbhag (1995b)
paper which has dealt with the case r = n = 3, 4. Here is Xu and Young’s result.
Employing the concepts of NBU and NWU, Xu and Yang presented the
following characterization of the exponential distribution.
E [Xi+k,n|Xi,n] = bXi,n + a.
where, δ = (r − (n − i))−1 and r is the unique real root greater than k − 1 of the
polynomial equation
1
Pk (x) = Pk (n − i) .
b
Theorem 5.2.42. Let X1 have a cd f F which is k times differentiable in D F ,
such that
E [Xi,n |Xi+k,n] = cXi+k,n + d,
then, except for location and scale parameters,
Rao and Shanbhag (1998) pointed out that: There is an interesting variant
of Theorem 5.2.31; Rossberg (1972), Ramachandran (1980), Rao (1983), Lau
and Ramachandran (1991), and Rao and Shanbhag (1994) among others have
produced versions of Theorem 5.2.31. A special case of this result for n = 2 was
given in a somewhat restricted form by Puri and Rubin (1970). Then Rao and
Shanbhag gave their variant (below) and showed that it is also linked with the
strong memoryless property characterization of the exponential and geometric
distributions.
where X1,n−i = min{X1, X2, . . ., Xn−i} , if and only if one of the following two
conditions holds:
(i) F is exponential.
(ii) F is concentrated on some semilattice of the form {0, λ, 2λ, . . .} with
F (0) = α and
F( jλ)i− F (( j − 1) λ) = (1 − α) (1 − β) β
j−1
for j = 1, 2, . . . for
−1/i
some α ∈ 0, i n
and β ∈ [0, 1) such that P {Xi+1,n > Xi,n } = (1 − α)n−i
−1/i −1/i
(which holds with α = ni or β = 0 if and only if F (0) − F (0−) = ni
−1/i
and F (λ)− F (λ−) = 1 − ni for some λ > 0). (The existence of cases β > 0
can easily be verified.)
84 M. Ahsanullah and G.G. Hamedani
The following two remarks ( Remarks 2 & 3, p. 240, 1998) are taken from
Rao and Shanbhag (1995a) which explain respectively as how the existence
of β > 0 in Theorem 5.2.44 follows and how the result of Stadje (1994) is a
corollary to this theorem.
The following theorem is due to Rao and Shanbhag (1998) special versions
of which have been dealt with by Arnold and Ghosh (1976) and Arnold (1980).
Zijlstra (1983) and Fosam et al. (1993) have reported further specialized ver-
sions of Theorem 5.2.44.
nonlattice) real monotonic function on R+ such that E [|φ (Xi+1,n − Xi,n )|] < ∞.
Then, for some constant c 6= φ (0+) , E [φ (Xi+1,n − Xi,n ) |Xi,n ] = c a.s. if and only
if F is exponential, within a shift.
Theorem 5.2.48. Xn,n − Xn−1,n and Xn−1,n are independent if and only if F
is exponential.
Remark 5.2.49. Bairamov et al. (2002) showed that each of the following
two conditions is a characteristic property of the exponential distribution:
1 k
∑
k p=1
E λX j,n |X j−p,n = x, X j+k+1−p,n = y
nλt + 1
E [X1,n|X1,n > t] = , t > 0.
nλ
Hence, it remains to be seen that the above properties will indeed characterize
exponential distribution uniquely.
In the following theorem, Kamps and Gather (1997) show that, under cer-
tain regularity conditions, a weaker assumption than D (r, n, m, k) ∼ D (s, n, m, k)
is sufficient to characterize exponential distribution within the class of distribu-
tions with IFR or DFR property. A special case of this result is that of Gajek
and Gather (1989) established for ordinary order statistics.
88 M. Ahsanullah and G.G. Hamedani
As in Kamps and Gather (1997), let rY (x) = g (x) /G (x) denote the failure
rate of a random variable Y with cd f G and pd f g. The failure rates as well
as the pd f f in Theorem 5.3.1 and Remark 5.3.2 below ( both due to Kamps
and Gather, 1997) are assumed to be continuous from the right. If rY is mono-
tone, then the limit rY (0) = limx→0 rY (x) is assumed to be finite (cf. Gajek and
Gather, 1989).
Remark 5.3.2. Again, Kamps and Gather (1997) pointed out that it is easily
seen that the property rD(s,n,m,k) (0) = r (0) (r is failure rate of F) for some 2 ≤
s ≤ n is also a characteristic property of exponential distribution. This assertion
corresponds to Remark 2.1 in Gajek and Gather (1989) and generalizes Theorem
2.2 in Ahsanullah (1981b) for ordinary order statistics. As in the case r = 1 in
Theorem 5.3.1, it is obvious that the IFR or DFR assumption can be replaced
by the condition that zero is an extremal point of the failure rate of F.
In the following theorem, Kamps and Gather, (1997) show that under an
NBU or NWU assumption, characterizations of exponential distribution based
on the equality of the expectations of Xs,n − Xr,n and Xs−r,n−r established by
Iwińska (1986) and Gajek and Gather (1989), can also be extended to general-
ized order statistics in the special case of s = r + 1.
Characterizations of Exponential Distribution I 89
The following remark is also due to Kamps and Gather (1997) involving a
counterexample of Kamps (1995, p. 128).
for just one pair (r, n), 1 ≤ r ≤ n − 1, does not characterize exponential distribu-
tion. For every choice of r, n and m 6= −1 there are distributions different from
exponential with the above property. For example, the distributions given by
(
−1/(m+1) c > 0, x ∈ (0, ∞) , m > −1,
F (x) = 1 − 1 + cxd
c < 0, x ∈ 0, (−1/c)1/d , m < −1,
with
k + (n − 1) (m + 1) γ1
d= =
k + (n − 2) (m + 1) γ2
satisfying the moment condition for r = 1.
e k) , X (2, n, m,
X (1, n, m, e k) , . . ., X (n, n, m,
e k) are called generalized order
statistics based on F, if their joint pd f is given by
e e e
f X(1,n,m,k),X(2,n, m,k),...,X(n,n, m,k)
(x1 , x2, . . ., xn )
! !
n−1 n−1 m k−1
= k ∏γj ∏ F (xi ) i f (xi ) F (xn ) f (xn ) ,
j=1 i=1
where e
µ = (µ1, µ2, . . ., µn−r−1) = (mr+1, mr+2 , . . ., mn−1) .
Characterizations of Exponential Distribution I 91
e k) − X (r, n, m,
E [φ(X (r + 1, n, m, e k))|X (r, n, m,
e k) = x] = c a.s.
if and only if there exists λ > 0 and µ ∈ R with F (x) = 1 − exp (−λ (x − µ)) , x ≥
µ.
e k)|X (r, n, m
Var [X (r + 1, n, m, e , k) = x] = c > 0 a.s.
92 M. Ahsanullah and G.G. Hamedani
Remark 5.3.12. In view of the results reported in this section, the similari-
ties in some characterization results based on order statistics and based on record
values (which will be discussed in details in Chapter 6) are no longer astonish-
ing. It clearly shows that the concept of generalized order statistics presents a
unified approach to characterizations of distributions and well-known charac-
terization results based on order statistics and record values can be deduced as
special cases of gos.
γi 6= γ j , for all i 6= j, 1 ≤ i, j ≤ n.
e k) |X (r, n, m,
E [X (r + l, n, m, e k) = x] = x + b, x ∈ (lF , rF ) ,
b) X (r + 1, n, m, d) ∼ X (r, n, m, k)+ σ γW
r+1
, r > 1, where W ∼ E σ−1 is in-
dependent of X (r + 1, n, m, k) and X (r, n, m, k) and m ≥ −1.
λ2 cr−2 r−2
fU,V (u, v) = gm 1 − e−λu e−γr−1 λu e−γr λv (5.3.2)
(r − 2)!
Thus U and V are independent.
Now, let fU (u) be the pd f of U, then
cr−2
fU (u) = (1 − F (u))−1+γr−1 gr−2
m (F (u)) f (u) . (5.3.3)
(r − 2)!
94 M. Ahsanullah and G.G. Hamedani
Using (5.3.2), (5.3.3) and the relation γr−1 = γr + m + 1, we obtain the condi-
tional pd f of V given U = u as
h −1 iγr −1 −1
fV |U (v|u) = F (u + v) F (u) f (u + v) F (u) , (5.3.4)
(a) X ∼ E (λ).
(b) For 1 < j ≤ n, the rv0 s γ j (X ( j, n, m, k) − X ( j − 1, n, m, k)) and
γ1X (1, n, m, k) are identically distributed.
The following two theorems are based on the monotonicity of the hazard
rate.
Proof of Theorem 5.3.19 can now easily be completed, which we omit it.
The proof of the following theorem is similar to that of Theorem 5.3.19 and
hence will be omitted.
Characterizations of Exponential Distribution I 97
Characterizations of
Exponential Distribution II
Gupta (1984) pointed out that the following characterizations have appeared
in literature for the i.i.d. case.
(1). The independence of XU( j+1) − XU( j) and XU( j) characterizes the expo-
nential distribution,
Sirvastava
(1978),
Ahsanullah (1979) and Pfeifer (1982).
(2). E XU( j+1) − XU( j) |XU( j) is independent of XU( j) characterizes the
exponential distribution, Sirvastava (1978), Ahsanullah (1978) and Nagaraja
(1977).
(3). Var (XU( j+1) − XU( j) )|XU( j) is independent of XU( j) characterizes the
exponential distribution, Ahsanullah (1981).
We will get back to Gupta (1984), but for now we would like to mention
that Ahsanullah (1979) presented two characterizations of exponential distri-
bution based on record values generalizing Tata’s (1969) result as well as other
characterizations reported in this direction. Here are Ahsanullah’s (1979) results
stated in Theorems 6.1.2 and 6.1.4 below.
Theorem 6.1.4. Under the assumptions of Theorem 6.1.2, the following two
statements are equivalent:
(a) X1 ∼ E (λ).
(b) for 0 ≤ m < n − 1, the conditional
distributions of XU(n) − XU(n−1)
given XU(m) and XU(m+1) − XU(m) given XU(m) are i.d. and X1 ∈ H ∗.
Characterizations of Exponential Distribution II 101
Remarks 6.1.6. (a) Gupta (1984) pointed out that the proof of Theo-
rem 6.1.5 requires only the continuity of F. (b) Theorem 6.1.5 was extended
by Rao and Shanbhag (1986), where they obtained the same r characteriza-
tion if, in Gupta’s condition, the expression XU( j+1) − XU( j) is replaced by
G XU( j+1) − XU( j) , where G is a monotone function satisfying certain condi-
tions.
Theorem 6.1.7. E XU( j+1) − XU( j) = E [X1 ], for one fixed j, characterizes
the exponential distribution in the class of NBU or NWU distributions.
Deheuvels (1984) pointed out, as did Gupta (1984), that a great deal of what
has been achieved in the characterization of exponential distribution based on
order statistics can be expressed equivalently based on record values and vice
versa. Then he presented the following result, Theorem 6.1.9 below.
For a fixed j ≥ 1, Deheuvels (1984) defines the jth record times by
n o
( j) ( j) ( j)
n1 = j, nk = min m > nk−1 |Xm− j+1,m > Xn( j) − j+1,n( j) , k = 2, 3, . . .,
k−1 k−1
Theorem 6.1.9. Let (Xn )n≥1 be a sequence of i.i.d. random variables with
( j) ( j)
a continuous cd f F. For a fixed j ≥ 1, let R1 , R2 , . . . be the corresponding
( j)
sequence of jth record values defined above. Then, if k ≥ 1 is a given integer, R k
( j) ( j)
and Rk+1 − Rk are independent if and only if F (x) = 1 − exp {−b (x − B)} , x ≥
B, for some finite constants b(b > 0) and B.
Theorem 6.1.12. E [Ym+1 |Ym] and E [Ym|Ym+1] are both linear in the con-
ditioning random variable for some m if and only if F is an exponential (type)
cd f . (A dual result holds for lower record values ).
Using concepts of NBU (NWU) and IHR (DHR) Ahsanullah presented cer-
tain characterizations of the exponential distribution based on the record values,
see Theorems 6.1.13, 6.1.15 and 6.1.16 below.
Remarks 6.1.14. (a) Theorem 6.1.12 can be used to obtain the follow-
ing known results pertinent to two parameter exponential distribution ( F (x) =
e−λ(x−µ))
E XU(m) = µ + mλ−1 ,
Var XU(m) = mλ−2 ,
and
Cov XU(m) , XU(n) = mλ−2 , m < n.
104 M. Ahsanullah and G.G. Hamedani
(b) Using Theorem 6.1.13, it can be shown that for the exponential distribu-
tion
XU(m) ∼ U1 +U2 + · · · +Um ,
where U1 ,U2, . . . are i.i.d. exponential. This property is also a characteristic
property of the exponential distribution.
In the following theorem, Haung and Li (1993) define XU(−1) = 0 for con-
venience.
Theorem 6.1.19. Assume that F has pd f f and F (x) > 0 for x > 0. Let G be
a non-decreasing function having non-lattice support on x > 0 with G (0) = 0
and E [G (X1 )] < ∞. If, for some fixed non-negative integers j and k ,
E G XU( j+k+1) − XU( j+k) |XU( j) = x = c,
for every x > 0, where c > 0 is a constant, and if for some ξ > 0,
Z ∞
c< e−ξx dG (x) < ∞,
0
Remark 6.1.20.
Considering
a sequence of populations and sequences of
(n)
random variables Xi (stemming from the nth population), Witte (1990,
i≥1
1993) characterized the exponential distribution based on the equidistribution
(m)
of XU(n) − XU(n−1) and X1 . Their results are very interesting, but they are not
in the same directions as the ones reported in this section so far.
(k)
Yn = XUk (n),Lk (n)+k−1, n = 1, 2, . . .,
where the sequence (Uk (n))n≥1 of the kth record times is given by
Uk (1) = 1,
Uk (n + 1) = min j| j > Uk (n), X j, j+k−1 > XUk (n),Lk (n)+k−1 , n = 1, 2, . . .
(1)
Note that for k = 1 the sequence Yn is the sequence XU(n) n≥1 of
n≥1
record values defined in the beginning of this chapter. Here are their results
stated in Theorems 6.1.21 and 6.1.22 below.
h i
Theorem 6.1.21. Assume E |min{X1 , X2, . . ., Xk }|2p < ∞ for a fixed inte-
ger k ≥ 1 and some p > 1. Suppose that N is a positive integer-valued random
variable independent of (Xn)n≥1. Then F ∼ E (1) if and only if
h i
(k) 2 (k)
E YN − 2k−1 E NYN+1 + k−2 E [N (N + 1)] = 0,
provided that E N 2 < ∞.
h i
Theorem 6.1.22. Assume E |min{X1 , X2, . . ., Xk }|2p < ∞ for a fixed inte-
ger k ≥ 1 and some p > 1. Then F ∼ E (1) if and only if
2 h i 2
(k) 2 (k)
E Y1 − E Y2 + 2 = 0,
k k
Characterizations of Exponential Distribution II 107
h i
(k) 2 (k)
proving that each set E Y1 , E Y2 , k ≥ 1, characterizes the expo-
nential distribution.
Remark 6.1.24. Theorems 6.1.21 and 6.1.22 as well as Corollary 6.1.23 are
special cases of the characterization results for more general distributions than
exponential distribution. We reduced the original theorems to the exponential
case to be consistent with the theme of this chapter and the book as a whole. The
interested readers can see the general results in Grudzień and Szynal (1997).
The following results (Theorems 6.1.26, 6.1.27 and 6.1.30 and Corollary
6.1.29) due to Rao and Shanbhag (1998), extend the results in Dallas (1981),
Gupta (1984), Rao and Shanbahg (1986, 1994), Witte (1988) and Huang and Li
(1993) all of which, except Rao and Shanbhag (1994), were mentioned before
in this chapter.
Corollary 6.1.29 (Rao and Shanbhag, 1998). Let the assumptions in Theo-
rem 6.1.27 be met. Then the following assertion holds:
If F is continuous or has its left extremity as one of its continuity pointsand
φ is nonarithmetic, then, for some c 6= φ (0+), E φ XU(k+1) − XU(k) |XU(k) = c
a.s. holds if and only if F is exponential, with a shift.
Theorem 6.1.33. If F is absolutely continuous with F (x) < 1 for all x, then
E XU(n+1) − XU(n)|XU(m) = y = c, c > 0, n ≥ m + 1,
Theorem 6.1.34. If F is absolutely continuous with F (x) < 1 for all x, Then
E XU(n+2) − XU(n)|XU(m) = y = 2c, c > 0, n ≥ m + 1,
∂
g (u) = h (u, v) = (q (u, v))r exp {−q (u, v)} q (u, v)
∂u
∞
(−1) j ∂
= ∑ Γ ( j + 1) {q (u, v)}r+1 ∂u q (u, v)
j=0
∞
(−1) j 1 ∂
= ∑ Γ ( j + 1) (r + j + 1) ∂u q (u, v) .
j=0
Hence
∞ Z
(−1) j 1
∑ Γ ( j + 1) {q (u, v)}r+ j+1 (r + j + 1) = c + g (u)du =: g1 (u), say.
j=0
(6.1.1)
Here g1 (u) is a function of u only and c is independent of u but may depend on
v.
Now, letting u → 0+ , we see that q (u, v) → 0 and hence from (6.1.1), we
have c as independent of v.
Therefore,
∞
∂ (−1) j ∂
0=
∂v
g1 (v) = ∑ Γ ( j + 1) {q (u, v)}r+ j ∂u q (u, v)
j=0
−1
∂ ∂
= g (u) q (u, v) q (u, v) .
∂v ∂u
∂
Now, we have g (u) = h (u, v) 6= 0 and ∂u q (u, v) 6= 0, then we must have
∂
∂v q (u, v)= 0.
1 f (z + x)
f z|XU(m) = x = {R (z + x) − R (x)}n−m−1 ,
Γ (n − m) F (x)
for 0 < z < ∞, 0 < x < ∞. (6.1.2)
Since Zn,m and XU(m) are independent, we will have for all z > 0,
f (z + x)
{R (z + x) − R (x)}n−m−1 , (6.1.3)
F (x)
as independent of x.
F(z+x)
Now, let R (z + x) − R (x) = − ln F (x) = q (z, x), say. Writing (6.1.3) in
terms of q (z, x), we get
∂
{q (z, x)}n−m−1 exp {−q (z, x)} q (z, x), (6.1.4)
∂z
as independent of x. Hence, by Lemma 6.1.37, we have
−1
− ln F (z + x) F (x) = q (z + x) = c (z) , (6.1.5)
We have seen that if the sequence (Xn )n≥1 of i.i.d.rv0s are from E (λ), then
n
∑ Z j,
d
XU(n) =
j=1
Thus
Z ∞ h −1 i
(R (u))n−1 f (u) f (u + z) F (u) − f (z) du = 0, for all z > 0.
0
(6.1.11)
114 M. Ahsanullah and G.G. Hamedani
Proof. We have
(R
∞ (R(u))n−1 r(u)
0 Γ(n)
F (u + z) du, for all z > 0,
P (Zn+1,n > z) =
0, otherwise.
Since Zn+1,n and Zn,n−1 are i.d., using the above equation we have
Z ∞
(R (u))n r (u)F (u + z) du
0
Z ∞
=n (R (u))n−1 r (u) F (u + z) du, for all z > 0. (6.1.14)
0
Thus if F ∈ H ∗ , then (6.1.15) is true if for almost all u and any z > 0,
r (u + z) = r (u) . (6.1.16)
That is the constant hazard rate. The relation (6.1.16) is a well-known charac-
teristic property of the exponential distribution. Hence we have X1 ∼ E (λ) .
Theorem 6.1.41. Let (Xn )n≥1 be a sequence of non-negative i.i.d. rv0 s with
an absolutely continuous cd f F with the corresponding pd f f . If F ∈ H ∗ and
for some fixed n, m, 1 ≤ m < n < ∞, Zn,m = XU(n) − XU(m) ∼ XU(n−m) , then X1 ∼
E (λ).
1
f1 (x) = (R (x))n−m−1 f (x) , for 0 < x < ∞, (6.1.17)
Γ (n − m)
and
Z ∞
(R (u))m−1 [R (x + u) − R (x)]n−m−1
f 2 (x) = r (u) f (x + u) du (6.1.18)
0 Γ (n) Γ (n − m)
for 0 < x < ∞.
where
n−m
(R (x0 )) j−1 −R(x0 )
g1 (x0 ) = ∑ Γ ( j)
e ,
j=1
and
F2 (x0 ) = 1 − g2 (x0 , u), (6.1.20)
116 M. Ahsanullah and G.G. Hamedani
where
n−m
[R (x0 + u) − R (u)] j−1
g2 (x0 , u) = ∑ Γ ( j)
exp {−R (x0 + u) − R (u)} .
j=1
The following theorem uses the property of homocedasticity but not IFR,
DFR, NBU or NWU property.
Proof. We only need to prove the “only if” condition. Note that
2 Z ∞ −1
E Zn+1,n |XU(n) = x = z2 F (x) dF (z + x)
0
Z ∞ −1
=2 z F (x) dF (z + x) dz, (6.1.23)
0
and
Z ∞ −1
E Zn+1,n |XU(n) = x = z F (x) dF (z + x)
0
Z ∞
= F (x) F (z + x) dz. (6.1.24)
0
Characterizations of Exponential Distribution II 117
R
Substituting G (x) = 0∞ zF (z + x) dz and denoting G(r) (x) as the rth derivative
of G (x) , we have on simplification
Z ∞
G(1) (x) = F (z + x) dz, G(2) (x) = F (x) and G(3) (x) = − f (x) ,
0
i.e. −1
d (1)
G (x) G (x) = 0, for all x > 0. (6.1.28)
dx
The solution of (6.1.28) is
Proof. We only need to prove the “only if” condition. Suppose r1 = r. The joint
pd f of XU(n+1) and XU(n) is given by
(
1
Γ(n) (R (x))
n−1
r (x) f (y) , 0 < x < y < ∞,
fn+1,n (x, y) =
0, otherwise.
Hence, X1 ∼ E (λ) .
Characterizations of Exponential Distribution II 119
Theorem 6.1.45. Let (Xn )n≥1 be a sequence of i.i.d. rv0 s with a cd f F with
F (0) = 0. If F is HNBUE or HNWUE, then
E (U (n, k) − k + 1)XU(n,k) = E [X1,k ]
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B G
Best Linear Invariant Estimator, 45, 60 Generalized Order Statistics, 51, 52, 53,
55, 57, 59, 61, 63, 125, 133
Geometric, 136, 137, 140, 142
C
O R
Order Statistics, 11, 13, 15, 17, 18, 19, Record Times, 31, 126, 129, 131, 137,
21, 23, 25, 27, 29, 66, 124, 126, 127, 140, 142
128, 129, 133, 134, 136, 137, 138, Record Values, 31, 33, 35, 37, 38, 39,
139, 140 41, 43, 45, 46, 47, 48, 49, 99, 121,
122, 123, 124, 125, 126, 127, 128,
131, 132, 134, 135, 136, 137, 138,
P 139, 140, 141, 142
Recurrence Relations, 137
Prediction, 46, 61, 122, 127