The joint distribution of the sum and the maximum of heterogeneous exponential random variables

Marek Arendarczyk, Tomasz. J. Kozubowski and Anna K. Panorska

Statistics & Probability Letters, 2018, vol. 139, issue C, 10-19

Abstract: We derive the joint distribution of the sum and the maximum of n independent heterogeneous exponential random variables and provide a detailed description of this new stochastic model for n=2. This generalizes previous results for univariate distributions of the sum and the maximum of heterogeneous exponential random variables as well as their joint distribution in the homogeneous exponential case.

Keywords: Distribution theory; Extremes; Generalized Erlang distribution; Hypoexponential distribution; Order statistics; Peak-to-average ratio (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2018.03.013

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