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Exponential Distribution

The exponential distribution describes the interval between events when the average number of events per unit of continuum has a Poisson distribution.

A good example is the load on a web site, the example below shows the interval between visits to a recipe site during the tea time rush:

Exponential Distribution - Example of load on web server

This example is not statistically significant at the 10% level, but for many applications, the exponential distribution would be adequate for simulating the load on a web site.

Profile

Exponential Distibution - Change in probability density with different values of mean

Truncation

Unlike most distributions, where truncation significantly complicates the analysis, the left truncation of an exponential distribution, simply shifts the mean, mode and median by the amount of the truncation.

Exponential Distribution - Truncation

Measures of dispersion remain unchanged.

Parameters

Parameter Description Characteristics
mean The mean interval between events.  Also referred to as the Scale parameter. A float > 0

Functions

Exponential Distribution - Probability and Cumulative Probability functions

Properties

Exponential Distribution - Formula for properties

Random Number Generation

Exponentially distributed random numbers (r) can be generated by transforming a standard uniform distribution (u):

r=g(u)

For programming purposes, the formula for g is simplified to:

Exponential distribution - Random Number Generation

This is because 1-u and u are both uniformly distributed random numbers, thus providing the opportunity to dispense with a subtract operation.

In Basic style psuedo code, the function looks like this:

r= -mean*log(rnd)

Parameter Estimation

The matching moments and maximum likelihood equations for parameter estimation are the same:

Exponential Distribution - Parameter Estimation

Page Updated: 22-Sep-2004

 

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