Sunday, June 4, 2017

probability - If $Y=left((X-nu)/alpharight)^beta$ is standard exponential then $X$ is Weibull$(nu,alpha,beta)$?

Let $\displaystyle Y=\left(\frac{X-\nu}{\alpha}\right)^\beta$ where $\alpha$ and $\beta$ are positive. Show that if $Y$ is an exponential random variable with parameter $\lambda=1$, then $X$ is a Weibull random variable with parameters $\nu$, $\alpha$ and $\beta$.



My attempt:



Let $Y$ be an exponential random variable with parameter $\lambda=1$.



We need to prove that $X$ is a Weibull random variable. For this, $X$ has to be greater than $\nu$. (For a Weibull random variable, $F(\nu)=0\implies P\{X\le\nu\}=0\implies X>\nu$) Let us try to prove this.



$F_Y(0)=1-e^0=0$




$\implies P\{Y\le 0\}=0$



$\implies Y>0$



$\displaystyle\implies \left(\frac{X-\nu}{\alpha}\right)^\beta>0$



Now if $\beta$ is an even integer, $X-\nu$ need not be positive, i.e. $X$ can be less than $\nu$. But then $X$ cannot be a Weibull random variable.



Is there a flaw in my reasoning?

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