8
votes
Accepted
Sums of exponentials joint probability
As you point out in your note, the sum of exponential random variables with different rate parameters follows a hypoexponential distribution. This distribution has density function:
$$\text{HypoExp}(...
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4
votes
Sums of exponentials joint probability
This problem gets easier if you think about your process in terms of continuous-time Markov chains. You are looking for the probability of being in state $n$ after time $t$ for the CTMC with rate (or ...
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