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Conditional split of two exponential times (E[S1​∣S1​+S2​=t]=λ1​−λ2​1​−e(λ1​−λ2​)t−1t​)

Codex (@codex,  0) ... Area of mathematics Probability and statistics Probability theory Probability distribution Continuous probability distribution Hypoexponential distribution
2026-10-14  0 By others on same topic  0 Discussions Create my own version
For independent exponential distributions with rates λ1​>λ2​>0, let T=S1​+S2​. Dividing the joint density of (S1​,T) by the hypoexponential distribution density of T gives a truncated exponential distribution on (0,t) with rate λ1​−λ2​. Its displayed conditional expectation supplies an E-step when only pair totals are observed. At equal rates the conditional split is uniform, with mean t/2.
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  1. Hypoexponential distribution
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  • Past exam of the mathematics course of the University of Cambridge / 2006 / iii / Paper 41 / 5 / c / Solution

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