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单词 MomentGeneratingFunctionOfTheSumOfIndependentRandomVariables
释义

moment generating function of the sum of independent random variables


Let Xi be independent random variablesMathworldPlanetmath for i=1,,n, let each Xi have moment generating function MXi(t), and let X=i=1nXi. Then the moment generating function of X is

MX(t)=i=1nMXi(t).
Proof.

By definition,

MX(t)=E(etX)
=E(et(X1++Xn))
=E(etX1etXn).

Now, since each Xi is independent of the others, this becomes

MX(t)=E(etX1)E(etXn)
=MX1(t)MXn(t)
=i=1nMXi(t)

as required.∎

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更新时间:2025/5/4 20:25:19