Prove a formula for the moment-generating function (mgf) of Y in terms of the mgf's of X₁ and N. For any random variable Z, the mgf is defined as oz(s) = E[e³Z], where s € IR and whenever the expectation is defined. Let X₁, X2,..., be a sequence of independent and identically distributed random variables, each with a mean value ux and variance o, both of which are assumed to be finite. Let N be a discrete random variable independent of X₁, X2, ..., and assuming values in the set {0, 1, 2,...}, with mean value μN and variance ok (both are finite). Form the random-compound sum Y = 1 Xk, with the convention Y = 0 whenever N = 0.

Prove a formula for the moment-generating function (mgf) of Y in terms of the mgf's of X₁ and N. For any random variable Z, the mgf is defined as oz(s) = E[e³Z], where s € IR and whenever the expectation is defined. Let X₁, X2,..., be a sequence of independent and identically distributed random variables, each with a mean value ux and variance o, both of which are assumed to be finite. Let N be a discrete random variable independent of X₁, X2, ..., and assuming values in the set {0, 1, 2,...}, with mean value μN and variance ok (both are finite). Form the random-compound sum Y = 1 Xk, with the convention Y = 0 whenever N = 0.

Calculus For The Life Sciences

2nd Edition

ISBN:9780321964038

Author:GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.

Publisher:GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.

Chapter13: Probability And Calculus

Section13.CR: Chapter 13 Review

Problem 22CR

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