1
$\begingroup$

How to find the conditional probability density function $P(X>Y\mid \max(X,Y)>T)$. $X,Y$ are independent identical exponential random variables. $T$ is a constant. Is it possible to find at least the value for a given $T$?

$\endgroup$
4
$\begingroup$

If $X$ and $Y$ are iid exponentially distributed random variables, then by symmetry $\Pr(X\gt Y|\max(X,Y)\gt T)=1/2$.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.