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week 5

Uploaded by

glide
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Variance of the Exponential Distribution

The variance is defined as:

Var(X) = E[X 2 ] − (E[X])2

We already know that E[X] = λ1 . Now we need to compute E[X 2 ], which is:
Z ∞
E[X 2 ] = x2 λe−λx dx
0

Again, we will use integration by parts. Let us choose:

u = x2 so that du = 2x dx

dv = λe−λx dx so that v = −e−λx


Applying integration by parts:
Z ∞
 ∞
E[X 2 ] = −x2 e−λx 0 + 2xe−λx dx
0
 ∞
The boundary term −x2 e−λx 0 evaluates to 0 (as shown earlier), and we are
left with: Z ∞
2 xe−λx dx
0
This integral is exactly the one we computed when finding the mean, so:
1 2
2· = 2
λ2 λ
Thus:
2
E[X 2 ] =
λ2
Now, we can compute the variance:
 2
2 1 1
Var(X) = E[X ] − (E[X]) = 2 −
2 2
= 2
λ λ λ

Final Results
- The mean of the exponential distribution is:
1
E[X] =
λ
- The variance of the exponential distribution is:
1
Var(X) =
λ2

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