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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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

Mx+yt = MxtMyt

that the MGF of the sum of independent random variables is the product of individual MGFs.

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