Proving the memoryless property of the exponential distribution

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Discussion Overview

The discussion centers on proving the memoryless property of the exponential distribution, specifically the relationship P(X ≤ a + b | X > a) = P(X ≤ b). The scope includes mathematical reasoning and technical explanation related to probability theory.

Discussion Character

  • Mathematical reasoning

Main Points Raised

  • One participant initiates the discussion by asking how to prove the memoryless property of the exponential distribution.
  • Another participant suggests rewriting the left side of the equation as P((X ≤ a + b) ∧ (X > a)) / P(X > a) to facilitate the proof.
  • A later reply confirms that P[(X ≤ a + b) ∧ (X > a)] can be expressed as P[X ≤ a + b] - P[X ≤ a].
  • Another participant expresses gratitude for the clarification and inquires about the validity of the previous statement regarding probabilities.
  • One participant describes the disjoint ranges of X and explains the probabilities associated with each range, indicating how they relate to the memoryless property.

Areas of Agreement / Disagreement

The discussion does not reach a consensus on the proof process, as participants are still exploring the validity of the steps involved and the reasoning behind them.

Contextual Notes

Participants express uncertainty about the justification of certain probability statements and the implications of the disjoint ranges of the random variable.

DanielJackins
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Given that a random variable X follows an Exponential Distribution with parameter β, how would you prove the memoryless property?

That is, that P(X ≤ a + b|X > a) = P(X ≤ b)

The only step I can really think of doing is rewriting the left side as [P((X ≤ a + b) ^ (X > a))]/P(X > a). Where can I go from there?
 
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P[(X ≤ a + b) ^ (X > a)] = P[X ≤ a + b] - P[X ≤ a] , right?
 
Thanks. Using that I was able to prove it. But why is what you said true?
 
X has three disjoint ranges, <a, (a,a+b), >a+b.
P[(X ≤ a + b) ^ (X > a)] is the probability X is in the middle range.
P[(X ≤ a + b)] is the probability X is in the first or middle range.
P[X ≤ a] is the probability X is in the first range.
 

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