Given that the MGF of the sum of independent random variables is the product of individual MGFs. If X and Y are independent random variables, then MX+Y(t) = MX(t)MY(t) Prove this statement.
Given that the MGF of the sum of independent random variables is the product of individual MGFs. If X and Y are independent random variables, then MX+Y(t) = MX(t)MY(t) Prove this statement.
Algebra & Trigonometry with Analytic Geometry
13th Edition
ISBN:9781133382119
Author:Swokowski
Publisher:Swokowski
Chapter10: Sequences, Series, And Probability
Section10.8: Probability
Problem 30E
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Question
Given that the MGF of the sum of independent random variables is the product of individual MGFs. If X and Y are independent random variables, then
MX+Y(t) = MX(t)MY(t)
Prove this statement.
Expert Solution
Step 1
If X and Y are independent random variables, then we have to prove that
=
that the MGF of the sum of independent random variables is the product of individual MGFs.
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