Sum of exponential variables with linearly increasing rates
ID: sum-of-exponential-variables-with-linearly-increasing-rates
If the independent exponential random variables have rates , thenwhere the are independent exponential random variables of rate . To see this, the first of independent exponential clocks rings at rate ; after it rings, the memoryless property leaves independent rate- clocks. The successive order statistic gaps are therefore independent with rates . Their sum has the same distribution as . In particular, for , the tail at has logarithm , since . The sum divided by has a large deviation principle with speed and rate function on , infinity otherwise.
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