Suppose that X and Y are independent rv's with moment generating functions M_{X}(t) and M_{Y}(t), respectively. If Z=X+Y, show that M_{Z}(t)=M_{X}(t)M_{Y}(t).

Mylo O'Moore

Mylo O'Moore

Answered question

2021-05-16

X and Y are independent rv's with moment generating functions MX(t) and MY(t), respectively. If Z=X+Y, we need to show that MZ(t)=MX(t)MY(t).

Answer & Explanation

Benedict

Benedict

Skilled2021-05-17Added 108 answers

If X and Y are independent random variable and Z = X + Y
then m.g.f of Z is equal to the product of m.g.f of X and Y
i.e
MZ(t)=MX(t)My(t)...
EetxEety=Eetxety=Eetx+y...
In expression 
On left hand side indicate moment generating function of z variable and on right hand side
indicate moment generating functions

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