Failure probabilities for two independent lifetimes Created 2026-10-18 Updated 2026-10-20
For independent survival times with cumulative distribution functions , the probability both components have failed by time isThe probability at least one has failed isThe first equality uses independence of random variables; the second applies it to the complementary event that both survive. These are the distributions of the two extreme order statistics.
Marginal distributions alone do not determine these probabilities. Without independence, the Fréchet inequalities give , and inclusion-exclusion gives .
Past exam of the mathematics course of the University of Cambridge 2019 ii Paper 2 26K d Solution Created 2026-09-24 Updated 2026-10-03
On the probability space , put and . The marginal conditions give and , while . The elementary Fréchet inequalities yieldHence
The product formula requires independent failure times. This assumption is not stated in the original PDF. Under that intended assumption, put and use the failure probabilities for two independent lifetimes:Its graph is a cubic increasing from to , convex before reaching its plateau.
Without independence, the marginal distributions do not determine . The Fréchet inequalities give the sharp pointwise boundsFor example, taking and with the same uniform random variable preserves both prescribed marginals but gives , rather than .