Find $P(X_1 < X_2 < X_3)$

conditional probabilityexponential functionprobability distributions

Suppose $X_1, X_2, X_3$ are independently and identically distributed random variables of an exponential distribution with rate $\beta$. What is the probability $P(X_1 < X_2 < X_3)$?

Attempt:

$$P(X_1<X_2) = P(X_2<X_3) = \frac{\beta}{2\beta}$$

Now, $P(X_1 < X_2 < X_3) = P(X_1<X_2, X_2<X_3) = P(X_1<X_2 | X_2<X_3)\times P(X_2<X_3)$

Am I moving in the right direction? How to calculate $P(X_1<X_2 | X_2<X_3)$? Is it $0.5$ due to the memoryless property?

Best Answer

There is no need to work so hard for this question.

Think of it this way. There are only six possible outcomes (except for those outcomes for which at least two of the three random variables are exactly equal, but these occur with probability zero):

$$X_1 < X_2 < X_3 \\ X_1 < X_3 < X_2 \\ X_2 < X_1 < X_3 \\ X_2 < X_3 < X_1 \\ X_3 < X_1 < X_2 \\ X_3 < X_2 < X_1$$ Because each $X_i$ is independent and identically distributed, the probability of any one of these is equal to the other. The underlying distribution makes no difference. Therefore, the answer is $1/6$. Had these not been IID then you'd need to do more work and the answer would depend on how they are distributed, but in this case, the variables are exchangeable.

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