Paper 2, Section II, F

Probability
Part IA, 2012

Let X,YX, Y be independent random variables with distribution functions FX,FYF_{X}, F_{Y}. Show that U=min{X,Y},V=max{X,Y}U=\min \{X, Y\}, V=\max \{X, Y\} have distribution functions

FU(u)=1(1FX(u))(1FY(u)),FV(v)=FX(v)FY(v)F_{U}(u)=1-\left(1-F_{X}(u)\right)\left(1-F_{Y}(u)\right), \quad F_{V}(v)=F_{X}(v) F_{Y}(v)

Now let X,YX, Y be independent random variables, each having the exponential distribution with parameter 1. Show that UU has the exponential distribution with parameter 2 , and that VUV-U is independent of UU.

Hence or otherwise show that VV has the same distribution as X+12YX+\frac{1}{2} Y, and deduce the mean and variance of VV.

[You may use without proof that XX has mean 1 and variance 1.]