1. Appl. Prob.

18, 949-951 (1981)

Printed in Israel
0021-9002j81j040949-03 $00.55
© Applied Probability Trust 1981

RECORD VALVES AND THE EXPONENTIAL DISTRIBUTION

A. C. DALLAS, * University of Athens

Abstract
Let XI' X 2 , ' •• be i.i.d. and Y k = max{X t , X 2 , ' • " X k } . Then X; is a record
value of the sequence if ~ > ~ _I' Denoting record value times by Ln ,
n = 1,2," " we prove that the independence of XL; - XL; and XL; with L; > L;
characterizes the exponential distribution.
RECORDS; INDEPENDENCE; CHARACfERIZATION; EXPONENTIAL DISTRIBUTION

1. Introduction
Let XI, X 2 , • •• be a sequence of independent random variables with a
common distribution function F(x) and let Y k =max{XI,X2 , · · · , Xk } . Then X,
is a record value of the sequence if Yj > Yj-l. By definition XI is a record value.
The sequence of indices at which records occur is defined by L; = 1, L; =
I
min{j j > Ln-r, X, > XLn~J for n = 1,2, .. '. Also, let R, = XL;. The sequence
R; j = 0, 1, · .. is called the sequence of (upper) records.
In this note we restrict ourselves to the case where F(x) is a continuous
function. Now set P(x) = 1 - F(x). Then the joint probability element of
R = (R o, RI, .. " R n ) is given by
(1.1) dFR (xo,' · " x.) = {P(xo)' .. P(Xn-I)}-ldF(xo)' .. dF(x n)

where Xo < Xl < ... < xn. Integrating (1.1), we have the distribution of R; which
is given by
(1.2)
Using a direct substitution in the formula for the conditional probability of
Ri+I, · · " R; given R, = Xi we get as a result that the conditional distribution of
Ri+I, · . " R; given R, = Xi is the same as that of the records R;), R~, .. " R~-i-l
which come from the distribution
F; (x) = (F(x) - F(Xi »/P(Xi), X ~Xi
(1.3)
=0, X <Xi.

Received 18 August 1980; revision received 2 December 1980.

* Postal address: Statistical Unit, University of Athens, Panepistemiopolis, Athens 621, Greece.

949

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 950 A.C.DALLAS

The conditional probability element of R given R, = Xi is given by

dFR (./ Ri = Xi) = dF R(xo,···, xn)/dFRj(Xi).
Using Equations (1.1) and (1.2) in the above expression, we have after the
calculations,
dF
R
( .1 R = x) = (i !}dF(xo) · . · dF(Xi-l) . dF(Xi+I)· · · dF(x n }
, , { -log P(Xi )}'P(xo) .. · P(Xi-l) P(Xi) . · . P(Xn-l)
with Xo < · .. < Xi-l < Xi < Xi+l < ... < Xn. From this we conclude that the sets
(R o, · •• , R i- 1) and (R i+h ••• , R n ) are conditionally independent when R, = Xi and
0< i < n.
When F(x) is of the form
F(x) = 1- exp( - A(x - a)), A >0, X ~ a
(1.4)
=0, otherwise
it has been proved by Tata (1969) that the differences R, - Ri:«, i = 0, 1,·· ·.with
R- 1 = 0 form a sequence of independent random variables. Conversely, she
proved that the independence of Ri; and R 1 - R; characterizes (1.4) among the
absolutely continuous distributions. This result was generalized to the case of
independence of R i + 1 - R, and R, for some fixed i by Ahsanullah (1978) and
Srivastava (1978). Note that using the observation quoted after (1.2) the above
characterization is reduced to that of Tata.
In this note we assume independence of R, - R, and R, for some fixed i and j
with j > i ~ 0 in order to characterize (1.4) among the continuous distributions.

2. The result
We prove the following characterization.
Theorem 2.1. Let R«; R h •.• be a record sequence coming from a continu-
ous distribution F(x). Then R, and R, - R; with 0 ~ i < j arbitrary but fixed, are
independent if and only if F(x) is the exponential distribution (1.4).
Proof. When F(x) is the exponential distribution, using Tata's results, we
arrive at the conclusion that R, - R, and R, are independent and this for
O~i<j.
Conversely, assume now that R, and R, - R, are independent. Then the
conditional probability element of R, given R, = Xi, using the same observation
as before, is given by
(2.1) dFRj(xj R, I = Xi) = {-log(P(xj)/P(xi))}j-i-l{U - i-I)! P(Xi)}-ldF(Xi).

Therefore, the conditional probability element of D = R, - R, given R, = Xi

must be a function of the values of D only. So, from (2.1) we get

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 Record values and the exponential distribution 951

(2.2) {-log(P(x; + d)/P(X;))}i-i-l{P(Xi)}-ldF(Xi + d) = w(d) all d ~ o.

From (2.2) we observe that X; ~ a for some constant a. For, otherwise, if we let
Xi --+ - 00 in (2.2) the left-hand side tends to 0 while the right-hand side is fixed.
Now we integrate (2.2) with respect to d from 0 to a value 5, say. After the
integration being performed we set Pix, + d)/P(Xi) = Z and the previous equa-
tion becomes '
P(x. +~)/P(x.)

J (log Y- = W( 8),
i I
I' , Z - dz all 5 ~ 0, Xi ~ a.

From the above equation we get

P(Xi + 5)/P(Xi) = b(5), all 5 ~ 0, Xi ~ a.
This is the lack of memory property (see Galambos and Kotz (1978), p. 7). Its
solution F(x) = 1- P(x) is the exponential distribution (1.4). This concludes the
proof of the theorem.

3. Remarks
Applying strictly monotone transformations on the Xi, i = 1,2, ... the trans-
formed values of the Xi'S form a sequence of records from the resulting
distribution. Therefore using the above theorem we can obtain characterizations
for several other distributions resulting from the exponential distribution
through strictly monotone transformations. For example, the independence of
Rj/R i and R, characterizes the Pareto distribution, etc.

References
AHSANULLAH, M. (1978) Record values and the exponential distribution. Ann. lnst. Statist.
Math. 30, 429-433.
GALAMBOS, J. AND KOTZ, S. (1978) Characterizations of Probability Distributions. Lecture Notes
in Mathematics 675, Springer-Verlag, Berlin.
SRIVASTAVA, R. C. (1978) Some characterizations of the exponential distribution based on
record values (abstract). Bull I.M.S. 7, 283.
TATA, Mo. N. (1969) On outstanding values in a sequence of random variables. Z. Wahrschein-
lichkeitsth. 12, 9-20.

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