So i have 2 independent samples, $X_1,X_2...,X_n$, where $X_i$~exp($\lambda$),
and $Y_1,Y_2...,Y_n$, where $Y_i$~exp($2\lambda$).
I want to find a confidence interval for $\lambda$ with confidence level of $1-\alpha$.
So far using MLE I've found an estimator for $\lambda$,
$\hat{\lambda}=\frac{n\overline{X}+2m\overline{Y}}{n+m}$, but im stuck finding the pivotal quantity.
I would be happy to receive ideas or references about how it can be done.
2026-02-26 16:38:21.1772123901
Confidence interval of 2 exponential random variables with different paramerts
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Community wiki answer so the question can be marked as answered:
As pointed out by Henry in a comment, you can combine the samples into one by transforming $Y$ to $Z=2Y\sim\exp(\lambda)$.