[Math] Expected lifetime: Maximum of $3$ exponential random variables

probability

$A, B$ and $C$ are $3$ independent components of a device with lifetime of density function $$f(x)={1\over200}{e^{-x/200}}$$

  1. What is the expected lifetime of $A$?

    I think is is $\int_0^\infty {xf(x)dx}$ but I am not sure.

  2. Suppose system works as long as at least one component works. What is the expected time until the system fails?

    Is it $3$ times of expected lifetime of $A$?

Best Answer

The distribution given by $f(x)$ is $\exp(λ=1/200)$. So,

  1. Its expected value is equal to $$E[A]=\frac1{1/λ}=200$$ see here. If you want to calculate it directly without using this, then yes your formula $$E[A]=\int_{0}^{+\infty}xf(x)dx$$ is correct.
  2. Now, for your second question, denote with $X_1$ the minimum, with $X_2$ the middle and with $X_3$ the maximum lifetime of the three components. As is already mentioned you need to calculate $E[X_3]$. We will use that the minimum of $n$ iid $\exp(λ)$ random variables has again the exponential distribution with parameter $nλ$, see here. Write $$E[X_3]=E[X_1+(X_2-X_1)+(X_3-X_2)]=E[X_1]+E[X_2-X_1]+E[X_3-X_2]$$ by linearity of expectation. Now,

    1. $X_1$ is the minimum of $3$ iid $\exp(λ)$ hence $X_1\sim\exp(3λ)$ and

    2. $X_2-X_1$ is distributed as (by the memoryless property of the exponential) as the minimum of $2$ iid $\exp(λ)$, hence $X_2-X_1\sim \exp(2λ)$. Why is that? Because after $X_1$ is realized, you have two more components running. By the memoryless property of the exponential distribution, the remaining lifetime of each of the components is again exponentially distributed. So, $X_2-X_1$ is just the time that the minimum of $2$ iid exponentials will be realised.

    3. By the same argument $X_3-X_2$ is distributed as $X_3-X_2\sim\exp(λ)$.

So, $$E[X_3]=\frac1{3λ}+\frac1{2λ}+\frac1{λ}=\frac{200}3+\frac{200}2+200$$